Techniques for estimating compound probability distribution by simulating large empirical samples with scalable parallel and distributed processing

ABSTRACT

Techniques for estimated compound probability distribution are described herein. Embodiments may include receiving, at a master node of a distributed system, a compound model specification comprising frequency models, severity models, and one or more adjustment functions, wherein at least one model of the frequency models and the severity models depend on one or more regressor and distributing the compound model specification to worker nodes of the distributed system, each of the worker nodes to at least generate a portion of samples for use in predicting compound distribution model estimates. Embodiments may also include predicting the compound distribution model estimates based on the sample portions of aggregate values and adjusted aggregate values.

RELATED APPLICATIONS

This application is a continuation under 35 U.S.C. §120 of U.S. patentapplication Ser. No. 15/197,691, titled “Techniques for EstimatingCompound Probability Distribution by Simulating Large Empirical Sampleswith Scalable Parallel and Distributed Processing,” filed Jun. 29, 2016and a continuation of U.S. patent application Ser. No. 14/626,143,titled “Techniques for Estimating Compound Probability Distribution bySimulating Large Empirical Samples with Scalable Parallel andDistributed Processing,” filed Feb. 19, 2015, which claims the benefitof priority under 35 U.S.C. §119(e) to U.S. Provisional PatentApplication No. 61/941,612, titled “System and Methods for EstimatingCompound Probability Distribution by Using Scalable Parallel andDistributed Processing,” filed on Feb. 19, 2014. U.S. patent applicationSer. No. 14/626,143 also claims the benefit of priority under 35 U.S.C.§119(e) to U.S. Provisional Patent Application No. 62/017,437, titled“System and Methods for Compressing a Large, Empirical Sample of aCompound Probability Distribution into an Approximate ParametricDistribution by Using Parallel and Distributed Processing,” filed onJun. 26, 2014. The subject matter of U.S. patent application Ser. Nos.15/197,691 and 14/626,143 and U.S. Provisional Patent Application Nos.61/941,612 and 62/017,437 are hereby incorporated herein by reference intheir respective entireties.

This application is related to a United States patent application with ashared specification and drawings with Ser. No. 14/626,187, titled“Techniques for Compressing a Large Distributed Empirical Sample of aCompound Probability Distribution into an Approximate ParametricDistribution with Scalable Parallel Processing,” filed on Feb. 19, 2015,which is hereby incorporated by reference in its entirety.

SUMMARY

The following presents a simplified summary in order to provide a basicunderstanding of some novel embodiments described herein. This summaryis not an extensive overview, and it is not intended to identifykey/critical elements or to delineate the scope thereof. Its solepurpose is to present some concepts in a simplified form as a prelude tothe more detailed description that is presented later.

Various embodiments are generally directed to techniques for estimatedcompound probability distributions. Some embodiments are particularlydirected to techniques for estimated compound probability distributionswhere samples for the compound probability distributions are generatedusing scalable parallel and distributed processing. Some embodiments areparticularly directed to techniques for estimated compound probabilitydistributions where an approximated distribution is estimated from thesamples using scalable parallel and distributed processing. The samplesmay represent an empirical estimate of the compound distribution. Theapproximated distribution may correspond to a parametric estimation ofthe compound distribution.

In one embodiment, for example, an apparatus may comprise aconfiguration component, perturbation component, sample generationcontroller, and an aggregation component. The configuration componentmay be operative to receive a compound model specification comprising afrequency model and a severity model, the compound model specificationincluding a model error comprising a frequency model error and aseverity model error. The perturbation component may be operative togenerate a plurality of frequency models from the frequency model andthe frequency model error by perturbing the frequency model according tothe frequency model error, wherein each of the generated plurality offrequency models corresponds to an adjustment of the received frequencymodel according to a deviation from the received frequency model withinthe frequency model error, and to generate a plurality of severitymodels from the severity model and the severity model error byperturbing the severity model according to the severity model error,wherein each of the generated plurality of severity models correspondsto an adjustment of the received severity model according to a deviationfrom the received severity model within the severity model error. Thesample generation controller may be operative to initiate the generationof a plurality of compound model samples from each of the plurality offrequency models and severity models. The aggregation component may beoperative to generate aggregate statistics from the plurality ofcompound model samples. Other embodiments are described and claimed.

In another embodiment, for example, an apparatus may comprise aconfiguration component, a distribution fitting component, and astatistic generation component. The configuration component may beoperative to receive a candidate distribution definition, the candidatedistribution definition comprising a combination of at least twocomponent distributions, the candidate distribution definitioncomprising one or more parameters. The distribution fitting componentmay be operative to receive a plurality of model samples, the modelsamples implying a non-parametric distribution of loss events, anddetermine parameter values for the one or more parameters of thecandidate distribution, the parameter values determined by optimizing anon-linear objective function through a search over a multidimensionalspace of parameter values, the optimization performed by a distributionfitting component operating on a processor circuit, the objectivefunction calculating a distance between the non-parametric distributionof the loss events as implied by the model samples and a parametricdistribution determined by application of potential parameter values tothe candidate distribution definition. The statistics generationcomponent may be operative to generate approximated aggregate statisticsfor the plurality of model samples based on an optimized parametricdistribution defined by the candidate distribution definition and thedetermined parameter values and report the approximated aggregatestatistics.

To the accomplishment of the foregoing and related ends, certainillustrative aspects are described herein in connection with thefollowing description and the annexed drawings. These aspects areindicative of the various ways in which the principles disclosed hereincan be practiced and all aspects and equivalents thereof are intended tobe within the scope of the claimed subject matter. Other advantages andnovel features will become apparent from the following detaileddescription when considered in conjunction with the drawings.

BRIEF DESCRIPTION OF THE DRAWINGS

FIG. 1 illustrates an example of a computing architecture for anaggregate distribution analysis system.

FIG. 2 illustrates an example of an embodiment of the aggregatedistribution analysis system in which the scenario data is located on aclient computer prior to analysis.

FIG. 3 illustrates an example of an embodiment of the aggregatedistribution analysis system in which the scenario data is already in adistributed database prior to analysis.

FIG. 4 illustrates an example of a logic flow for computing empiricalcompound distribution model (CDM) estimates.

FIG. 5 illustrates an example of a logic flow for computing empiricalcompound distribution model (CDM) estimates in the presence of scenariodata.

FIG. 6 illustrates an example of a logic flow for computing variabilityin empirical compound distribution model (CDM) estimates by usingperturbation analysis.

FIG. 7 illustrates an example of a logic flow for computing empiricalcompound distribution model (CDM) estimates for one unperturbed orperturbed sample in a parallel and distributed manner.

FIG. 8 illustrate an example of a set of scalability results forcomputing a compressed approximating parametric distribution in aparallel and distributed manner.

FIG. 9 illustrate an example of a second set of scalability results forthe computation of an empirical CDM estimate.

FIG. 10 illustrates an example of a block diagram for an aggregatedistribution analysis system.

FIG. 11 illustrates an example of the distributed generation of samplesamong a plurality of worker nodes.

FIG. 12 illustrates an example of an embodiment of the distributedgeneration of compound model samples.

FIG. 13 illustrates an example of an embodiment of the distributedgeneration of aggregate statistics.

FIG. 14 illustrates an example of an embodiment of a logic flow for thesystem of FIG. 1.

FIG. 15 illustrates an example of an embodiment of a logic flow for thesystem of FIG. 1.

FIG. 16 illustrates an example of a computing architecture for anaggregate distribution analysis system in which a compressedapproximating parametric distribution is produced.

FIG. 17 illustrates an example of a logic flow for computing acompressed approximating parametric distribution in a parallel anddistributed manner.

FIG. 18 illustrates an example of a block diagram for the aggregatedistribution analysis system generating approximated aggregatestatistics.

FIG. 19 illustrates an example of the examination of multiple differentcandidate distribution definitions.

FIG. 20 illustrates an example of generating approximated aggregatestatistics from distributed partial samples.

FIG. 21 illustrates an example of an embodiment of a logic flow for thesystem of FIG. 1.

FIG. 22 illustrates an example of an embodiment of a centralized systemfor the system of FIG. 1.

FIG. 23 illustrates an example of an embodiment of a distributed systemfor the system of FIG. 1.

FIG. 24 illustrates an example of an embodiment of a computingarchitecture.

FIG. 25 illustrates an example of an embodiment of a communicationsarchitecture.

DETAILED DESCRIPTION

Various embodiments are directed to techniques to generate aggregatestatistics from a compound model specification that is comprised of afrequency model and a severity model. The frequency model may correspondto a predicted distribution for the frequency of events and the severitymodel may correspond to a predicted distribution for the severity ofevents. Together these define a compound model specificationincorporating a distribution of both the frequency and severity ofevents in which the frequency of events and severity of events may bestatistically independent. However, combining the frequency model andseverity model analytically may be intractable. As such, event samplesmay be generated according to both the frequency and severity models,with the aggregate statistics generated from the event samples. Becausethis technique may be used to account for unlikely events, very largesamples may be generated, such as samples with one million or tenmillion observations. In order to generate and analyze such largesamples within a reasonable time scale—for example, running an analysiswithin a few minutes during a working day or running multiple analysesovernight during a period of low demand on a computingcluster—distributed processing may be leveraged for the generation andanalysis of samples.

An entity may be aided by generating statistics related to predictedlosses. These predictions may aid the entity in planning for the future.In some cases, these predictions may be requirements imposed by agenciesfor the practice of certain kinds of entities. These entities may beparticularly concerned with the probability of multiple unlikely eventsoccurring in close proximity as this sort of concurrence may berepresent a particular risk to the stability of the entity due to thedifficulty in absorbing multiple large losses. As such, the generationand analysis of a multiple number of large samples may be desirable inorder to create a meaningful subset in which unlikely events aresufficiently represented. As a result, the embodiments can improveaffordability and scalability of performing loss risk assessment for anentity.

This application discloses a system and associated techniques forquantitative loss modeling, including at least the following features:

1. A system that estimates the compound probability distribution modelby employing parallel and distributed algorithms for aggregate lossmodeling that compounds the frequency and severity models. Algorithmscan be executed on a grid of computers. This gives it the unique abilityto estimate models significantly faster on large amounts of input data.

2. A system that offers the ability to assess effects of uncertainty inthe parameters of frequency and severity models on the estimates of thecompound distribution model.

3. A system that can conduct scenario analysis by enabling users tomodel effects of external factors not only on the probabilitydistributions of frequency and severity of losses but also on thecompound distribution of the aggregate loss. Further, if the userprovides information about the uncertainty in the external factors, thenthe system can assess its effect on the compound distribution.

4. A system that offers customization capability by enabling users tospecify several loss adjustment functions to request that the systemestimate distributions of aggregate adjusted losses.

Most modern entities collect and record information about losses. Suchinformation often includes the number of loss events that wereencountered in a given period of time, the magnitude of each loss, thecharacteristics of the entity that incurred the loss, and thecharacteristics of the economic environment in which the loss occurred.Because data about past losses are more readily available, quantitativemodeling of losses is becoming an increasingly important task for manyentities. One goal is to estimate risk measures such as value at risk(VaR) and tail VaR that depend on the estimate of the probabilitydistribution of the aggregate loss that are expected to be observed in aparticular period of time. Several mathematical and statisticalapproaches are possible, but one of the most commonly used and desirableapproaches is to estimate separate probability distribution models forthe frequency (number) of loss events and the severity (magnitude) ofeach loss, and then to combine those models to estimate the distributionof the aggregate loss.

The estimation of aggregate loss distribution is a mathematicallycomplex problem even for one pair of frequency and severitydistributions, which corresponds to a single unit. When one wants toanalyze the aggregate loss for a group of entities, the size of theproblem is multiplied by the number of units. A simulation-basedapproach is used to overcome the mathematical complexity. However, itstill remains a computationally intensive problem, because the largerthe sample one can simulate, the more accurate the estimate of aggregateloss distribution will be, and the larger the number of units, thelarger the number of simulations are required to simulate just one pointof the sample. Thus, aggregate loss modeling problem tends to currentlyprimarily be a big computation problem.

Various implementations of this disclosure propose parallel anddistributed computing algorithms and architecture(s) to implement theaggregate loss modeling. Each implementation involves distribution ofcomputations to a grid of multicore computers that cooperate with eachother over communication channels to solve the aggregate loss modelingproblem faster and in a scalable manner. Further, the variousimplementations of this disclosure propose a parallel and distributedalgorithm to quantitatively assess how the distribution of the aggregateloss is affected by the uncertainty in the parameters of frequency andseverity models and the uncertainty in estimated external effects(regressors). The proposed solution exploits the computing resources ofa grid of computers to simulate multiple perturbed samples andsummarizes them to compute the mean and standard error estimates ofvarious summary statistics and percentiles of the aggregate lossdistribution.

Reference is now made to the drawings, where like reference numerals areused to refer to like elements throughout. In the following description,for purposes of explanation, numerous specific details are set forth inorder to provide a thorough understanding thereof. It may be evident,however, that the novel embodiments can be practiced without thesespecific details. In other instances, well known structures and devicesare shown in block diagram form in order to facilitate a descriptionthereof. The intention is to cover all modifications, equivalents, andalternatives consistent with the claimed subject matter.

FIG. 1 illustrates a computing architecture for an aggregatedistribution analysis system 100. The computing architecture illustratedin FIG. 1 may include a grid computing architecture for use, at least inpart, for performance of the aggregate distribution analysis system 100.It will be appreciated that the computing architecture illustrated inFIG. 1 may also be used for other tasks, and may comprise a general gridcomputing architecture for use in various distributed computing tasks.Although the aggregate distribution analysis system 100 shown in FIG. 1has a limited number of elements in a certain topology, it may beappreciated that the aggregate distribution analysis system 100 mayinclude more or less elements in alternate topologies as desired for agiven implementation. The proposed technique may make use of a parallelor grid computing architecture.

It is worthy to note that “a” and “b” and “c” and similar designators asused herein are intended to be variables representing any positiveinteger. Thus, for example, if an implementation sets a value for a=5,then a complete set of components 122 may include components 122-1,122-2, 122-3, 122-4 and 122-5. The embodiments are not limited in thiscontext.

The general flow of the solution in each phase of aggregate lossdistribution estimation is as follows:

1. The user submits input instructions on the client computer 110,including loss model specification and tuning parameters 120.

2. The client computer 110 parses the instructions and communicates theproblem specification to the master grid node 140 of the grid appliance.If the input data is located on the client, then the client reads thedata and sends it to the master node as a combined specifications/data130.

3. The master node communicates the problem specification to the workergrid nodes 150 via inter-node communication 160. If the input data isthe scenario data, then it is copied to all worker grid nodes 150. Ifthe input data contains externally simulated counts data that isreceived from the client, then the master grid node 140 distributes theinput data equitably among all worker grid nodes 150. If the externallysimulated counts data is big, it may already be pre-distributed amongworker nodes.

4. All grid nodes cooperatively decide which pieces of the problem eachgrid node works on. The work of simulating an unperturbed sample of sizeM is distributed such that each of the W workers simulates approximatelyM/W points of the total sample. The work of simulating P perturbedsamples is distributed among W workers such that each worker simulatesP/W M-sized samples when P is greater than or equal to W. If P is lessthan W, then each worker simulates M/W points of each of the P perturbedsamples. The number of workers W may correspond to the number of workergrid nodes and may vary in various embodiments and implementations, witheach of the worker grid nodes 150 executing a worker. Each worker mayitself may have a plurality of threads or processes.

5. Each worker splits its local problem into multiple independent piecesand executes them by using multiple parallel threads of computation toachieve further gain in speed. Upon finishing its work, the workercommunicates its local results to the master grid node 140, whichaccumulates the results from all the workers.

6. Once the problem is solved, the master grid node 140 gathers thefinal results from workers, summarizes those results, and communicatesthem back to the client computer 110 as results 170.

7. The client computer 110 receives the results, displays them to theuser as aggregate loss distribution estimates 125, and persists them forconsumption by a subsequent phase or by the user.

Parallel and Distributed Frequency and Severity Modeling

FIG. 2 illustrates an embodiment of the aggregate distribution analysissystem 100 in which the scenario data is located on the client computer110 prior to analysis. The client computer 110 first sends the data tothe master grid node 140 of the grid, which then distributes the data tothe worker grid nodes 150. Before estimation, each worker grid nodereads all the data from its local disk and stores it in its main memory(e.g., RAM).

Client computer 110 may comprise a data store containing scenario data220 or have access to a data store containing scenario data 220, thedata store distinct from the disks local to the worker grid nodes 150.Client computer 110 may access scenario data 220 and transmit it to themaster grid node 140. Client computer 110 may further receive modelspecifications and tuning parameters 120. The model specifications maybe transmitted to master grid node 140 as specifications 230. The numberof worker grid nodes 150 may be determined according to the tuningparameters.

Worker grid nodes 150 may receive the scenario data 220 and store it aslocal disks with scenario data distributed from the client 260. Duringprocessing of the scenario data 220, each of the worker grid nodes 150may make a copy of the information from its local disk with input datadistributed from the client 260 to their main memory (e.g. RAM) to formin-memory scenario data 250. When the scenario data contains a countvariable simulated from an empirical frequency model, the in-memoryscenario data 250 on each of the worker grid nodes 150 may comprise onlya portion of the total scenario data 250, with each of the worker gridnodes 150 operating on only a subset of the scenario data 220. When thescenario data does not contain a count variable simulated from anempirical frequency model, the in-memory scenario data 250 on each ofthe worker grid nodes 150 may comprise a full copy of the total scenariodata 250.

FIG. 3 illustrates an embodiment of the aggregate distribution analysissystem 100 in which the scenario data is already in a distributeddatabase 360 prior to analysis. This data might contain a count variablesimulated from an empirical frequency model external to the aggregatedistribution analysis system 100. As shown in FIG. 3, the scenario datais already available in a distributed database 360, with a data accesslayer 365 operative to access the data from the distributed database 360and send appropriate portions of the data to each of the worker gridnodes 150, which stores its allocated part in its main memory (e.g.,RAM).

Note that the number of worker grid nodes 150 need not be the same asthe number of nodes in the distributed database 360. The distribution ofthe scenario data 220 from the distributed database 360 to the workergrid nodes 150 may include a re-division of the scenario data 220 fromthe division of it between the nodes of the distributed database 360 tothe division of it between the worker grid nodes 150. Alternatively, insome embodiments, the nodes of the distributed database 360 may be equalin number to the number of worker grid nodes 150, with each of theworker grid nodes 150 receiving its portion of the scenario data 220from a particular one of the nodes of the distributed database 360.

Parallel and Distributed Aggregate Loss Modeling

The aggregate loss modeling process uses the frequency and severitymodels that are specified in the model specification to estimate thedistribution of the aggregate loss. The aggregate loss S in a particulartime period is defined as

$S = {\sum\limits_{j = 1}^{N}\; X_{j}}$

where N represents the frequency random variable for the number of lossevents in that time period, and X represents the severity randomvariable for the magnitude of one loss event. One goal is to estimatethe probability distribution of S. Let F_(X)(x) denote the cumulativedistribution function (CDF) of X; let F_(X) ^(n)(x) denote the n-foldconvolution of the CDF of X; and let Pr(N=n) denote the probability ofseeing n losses as per the frequency distribution. The CDF of S istheoretically computable as

${F_{S}(s)} = {\sum\limits_{n = 0}^{\infty}\; {{\Pr ( {N = n} )} \cdot {{F_{X}^{*n}(x)}.}}}$

The probability distribution model of S, characterized by the CDFF_(S)(s), is referred to as a compound distribution model (CDM). Directcomputation of F_(S) is usually a difficult task because of the need tocompute the n-fold convolution. An alternative is to use Monte Carlosimulation to generate a sufficiently large, representative sample ofthe compound distribution. In addition to its simplicity, the simulationmethod applies to any combination of distributions of N and X.

The simulation method is especially useful to handle the followingrequirements that the real-world situations demand and the challengesthat those pose:

1. When the user specifies regression effects in the models of N and X,the distributions of N and X depend on the regressor values, which inturn makes the distribution of S dependent on the regressor values. Thismakes the aggregate loss modeling process a what-if or scenario analysisprocess. The user can specify a scenario that consists of one or moreunits and the characteristics of each unit are encoded by the set ofregressor values that are specific to that unit. For example, an entitymight want to estimate distribution of aggregate losses combined acrossmultiple operating environments. Each operating environment might becharacterized by a set of metrics that measure market conditions andinternal operational characteristics of the entity. A subset of thosemetrics might be used as regressors in the model of N and another,potentially overlapping, subset of metrics, might be used as regressorsin the model of X. One unit is then defined as one set of metric valuesfor one operating environment and a scenario might consist of multiplesuch operating environments.

2. The user might also be interested in estimating the distribution ofan adjusted loss by applying some modifications to the loss that a unitgenerates. For example, a entity might want to estimate the distributionof the payments that it needs to make to a group of policyholders in aparticular time period, where the payment is determined by applyingadjustments such as the deductible and the maximum payment limit to theactual loss that the policyholder incurs. The user might want toestimate distributions of multiple such quantities that are derived byadjusting the ground-up loss. In this case, one policyholder acts as oneunit. Multiple such units might be processed together as one scenario.

3. When the models of N and X are estimated, the parameters of eachmodel are not known with certainty. The parameters can be thought of asrandom variables that are governed by a particular probabilitydistribution. For example, the severity model parameters might begoverned by a multivariate normal distribution, in which case theseverity modeling process essentially estimates the mean and covarianceof the multivariate normal distribution. Further, regressor values thatare used to specify a scenario might also be estimated, for example, byusing some time series forecasting method. In this case, each regressoris a random variable that is governed by some probability distribution.To get accurate estimates of the aggregate loss distribution, thesimulation process can account for the effect of parameter and regressoruncertainties on the aggregate loss distribution, and can produceestimates of the uncertainty in the estimates of the CDM. This processis referred to as perturbation analysis.

Aspects of this disclosure proposes a system to estimate the CDM byusing a parallel and distributed algorithm to simulate a large sample ofthe aggregate loss and corresponding large samples of aggregate adjustedlosses while accounting for the regression effects, if any. The systemalso proposes a parallel and distributed algorithm for perturbationanalysis.

The input to the aggregate loss modeling phase can involve thefollowing:

Frequency Model:

The frequency model can be provided in two forms: a parametric frequencymodel and an empirical model. The parametric frequency model can bespecified by the distribution family, parameter estimates, and the setof regressors that the model depends on. The empirical model can beexpressed as a sufficiently large sample of the number of loss eventsthat each unit generates. A large sample might contain millions ofsimulated observations, for example. For an empirical frequency model,the perturbation analysis assumes that frequency model does not have anyuncertainty.

Severity Model:

The parametric severity model can be specified by the distributionfamily, parameter estimates, and the set of regressors that the modeldepends on.

Parameter Uncertainty Estimate:

If the user wants the system to conduct the perturbation analysis forparameters, then a joint distribution of frequency and severityparameters can be specified. This distribution can be a distributionthat system is aware of (for example, the multivariate normaldistribution), in which case system can internally make random drawsfrom the distribution. It can also be a custom distribution, in whichcase the user may provide the mechanism to make random draws.

Loss Adjustment Functions:

A user can specify one or more loss adjustment functions. Each functionoperates on a simulated ground-up loss (severity) value to compute anadjusted loss. The system generates as many aggregate adjusted losssamples as the number of loss adjustment functions. It will beappreciated that the user may not specify any loss adjustment functionsas the use of loss adjustment functions is optional.

Scenario Data:

This includes observations for multiple units such that each observationrecords the following for each unit: count variable for the empiricalfrequency model, if the specified frequency model is empirical; anyvariables that are required by the loss adjustment functions; values ofregressors that are used in the frequency model when the frequency modelis not empirical; values of regressors that are used in the severitymodel; and an estimate of uncertainty that is associated with the valueof regressor if the user wants the system to use regressor uncertaintyin the perturbation analysis. In a simple form, the uncertainty can bespecified in the form a standard error, in which case, the systemassumes that the regressor has a normal distribution with the mean andstandard deviation estimates that appear in the observation. In general,the user can specify the uncertainty in the form of any univariatedistribution from a parametric family by specifying the distributionfamily and the parameter estimates. If the distribution is known to thesystem, then the system uses the quantile function of the distributionto make random draws of the regressor value while conducting theperturbation analysis. If the distribution is a custom distribution,then the user needs to supply either the quantile function or the CDFfunction that the system can invert internally.

Tuning Parameters:

Some of key tuning parameters include the size of the sample togenerate, number of perturbed samples to generate, whether to perturbthe model parameters or regressors or both, the number of worker gridnodes to use, and the number of parallel threads of computations to useon each worker node. The system chooses appropriate default value whenthe user does not provide a value for a tuning parameter.

Included herein is a set of flow charts representative of exemplarymethodologies for performing novel aspects of the disclosedarchitecture. While, for purposes of simplicity of explanation, the oneor more methodologies shown herein, for example, in the form of a flowchart or flow diagram, are shown and described as a series of acts, itis to be understood and appreciated that the methodologies are notlimited by the order of acts, as some acts may, in accordance therewith,occur in a different order and/or concurrently with other acts from thatshown and described herein. For example, those skilled in the art willunderstand and appreciate that a methodology could alternatively berepresented as a series of interrelated states or events, such as in astate diagram. Moreover, not all acts illustrated in a methodology maybe required for a novel implementation.

FIG. 4 illustrates a logic flow for computing empirical compounddistribution model (CDM) estimates. In a simple form—that is whenfrequency and severity models do not contain regression effects and whenthe user does not want the system to conduct the perturbation analysis,the simulation process, when executed on one machine with one thread, isas shown in FIG. 4, where M is the size of the sample to simulate. TheCDM is estimated by computing the empirical estimates of various momentsand percentiles of the compound distribution (CD).

The logic flow 400 may set a parameter I to 0 at block 410. I mayrepresent a parameter for managing the iteration of the simulationprocess.

The logic flow 400 may draw the count, N, from the frequency model atblock 420. N represents the frequency random variable for the number ofloss events, the count, in the time period being analyzed. The frequencymodel represents a distribution of possible values for N and aparticular value for N is generated based on this distribution.

The logic flow 400 may draw N loss values from the severity model atblock 430. With the number of losses N determined, N losses will begenerated. The severity model represents a distribution of possible lossvalues, the magnitude of losses that may be experienced by a unit. Foreach of the N losses, a loss value is independently generated accordingto this distribution.

The logic flow 400 may add the N loss values to get the next point ofthe CDM sample. Adding these loss values determines the total loss forthe period of time under consideration and therefore goes towardsgenerating an analysis of total loss for the period.

The logic flow 400 may increment the parameter I at block 450.

The logic flow 400 may determine whether the parameter I is less than Mat block 460. If so, then the desired number of samples, M, has not yetbeen generated and the logic flow 400 continues to block 420. If not,then the desired number of samples has been generated and the logic flow400 may continue to block 470. It will be appreciated that any controlstructure for iteratively performing a sequence of operations M timesmay be employed as an alternative to iterating a parameter I.

The logic flow 400 may compute the empirical CDM estimates from theM-sized sample at block 470.

FIG. 5 illustrates a logic flow for computing empirical compounddistribution model (CDM) estimates in the presence of scenario data.When the frequency or severity model contains regression effects and theuser specifies one or more loss adjustment functions, then thesimulation algorithm is as shown in FIG. 5. The algorithm ensures thatthe order of loss events is randomized across all units in the currentscenario, which mimics a real-world process. This is especially usefulwhen the loss adjustment function needs to use the aggregate loss acrossall units to adjust the next loss. In the flowchart, {F^(a)} denotes aset of loss adjustment functions, and quantities that are derived byusing these functions are denoted with the set notation such as {S^(a)}.

The logic flow 500 may simulate N_(k) loss events for each unit k byusing the frequency model of that unit at block 510.

The logic flow 500 may compute N=ΣN_(k) and mark all units active atblock 515. As N_(k) corresponds to the number of loss events for aparticular unit according to the frequency model for that unit, N, thetotal number of losses, can be determined according to the sum of theindividual N_(k).

The logic flow 500 may set parameter J to zero, parameter S to zero, andparameters {S^(a)} to zero at block 520. The parameter J may be used tocount the number of loss events that have been simulated, to be comparedto N. It will be appreciated that any technique for performing aspecific number of iterations N for generating loss events may be used.The parameter S may be used to accumulate the aggregate loss across ofall loss events that are generated by all units. The parameters {S^(a)}may be used to accumulate the aggregate adjusted loss across all lossevents that are generated by all units, for each of the loss adjustmentfunctions {F^(a)}.

The logic flow 500 may select an active unit k at random at block 525.

The logic flow 500 may determine whether all N_(k) events for unit khave been simulated at block 530. If they have been, the logic flow 500may proceed to block 535. If not, the logic flow 500 may proceed toblock 550.

The logic flow 500 may mark unit k inactive at block 535. As all N_(k)events have been simulated for a particular unit, no additional eventswill be simulated for that unit and the logic flow 500 may continue toblock 540.

The logic flow 500 may determine whether any active unit is remaining atblock 540. As one of the units has now, at block 535, been marked asinactive due to all of its events being simulated, all of the units maybe finished. If no unit is still active the logic flow 500 is finishedsimulating the events for a particular sample point and may continue toblock 565. Otherwise the logic flow 500 may loop back to block 525 toselect a different active unit.

The logic flow 500 may draw a loss value L from the severity model ofunit k and apply adjustment functions {F^(a)} to L to compute {L^(a)} atblock 550.

The logic flow 500 may set parameter S to be S+L, set{S^(a)=S^(a)+L^(a)}, and increment parameter J at block 555.

The logic flow 500 may determine whether J is less than N at block 560.If it is, then not all events have yet been generated for this samplepoint, and the logic flow 500 proceeds back to block 525. Otherwise, thelogic flow 500 proceeds to block 565.

The logic flow 500 may add S and {S^(a)} as next points in theunadjusted and adjusted samples respectively at block 565.

The logic flow 500 may increment the parameter I at block 570.

The logic flow 500 may determine whether I is less than M at block 575.If it is, additional samples are to be generated and the logic flow 500loops back to block 510. If not, all samples have been generated and thelogic flow 500 proceeds to block 580.

The logic flow 500 may compute empirical CDM estimates for unadjustedand adjusted samples at block 580.

FIG. 6 illustrates a logic flow for computing variability in empiricalcompound distribution model (CDM) estimates by using perturbationanalysis. When the user requests perturbation analysis, the algorithm toconduct the perturbation analysis with P perturbed samples is shown inFIG. 6, where the dash-dot block 640 executes either the simplealgorithm of FIG. 4 or the scenario analysis algorithm of FIG. 5 for thedesired sample size. The “Perturb” operations perturb the modelparameters or regressors by drawing at random values from theirrespective univariate or multivariate distributions that the user hasspecified.

The logic flow 600 may set a parameter J to zero at block 610. Theparameter J may be used to count the number of perturbed samples thathave been generated, to be compared to P, the number of perturbedsamples to be generated. It will be appreciated that any technique forperforming a specific number of iterations P for generating perturbedsamples may be used.

The logic flow 600 may perturb frequency and severity parameters atblock 620. The parameters may be perturbed according to thedistributions defined by the frequency model and severity model of acompound model specification.

The logic flow 600 may perturb the regressors for all units in a currentscenario at block 630.

The logic flow 600 may simulate unadjusted and adjusted CDM samples byusing the perturbed parameters at block 640. The simulation of CDMsamples may be performed using either of the algorithms described withreference to FIG. 4 and FIG. 5.

The logic flow 600 may compute empirical CDM estimates for the perturbedsample at block 650.

The logic flow 600 may increment the count parameter J at block 660.

The logic flow 600 may determine whether the count parameter J hasreached the desired number of perturbed samples P at block 670. If so,the logic flow 600 may proceed to block 680. If not, the logic flow 600may loop back to block 620 for the generation of additional perturbedsamples.

The logic flow 600 may compute the variability of each empirical CDMestimate by using the P-sized sample of each statistic at block 680.

FIG. 7 illustrates a logic flow for computing empirical compounddistribution model (CDM) estimates in a parallel and distributed manner.This parallel and distributed algorithm is shown in FIG. 7. The key isto distribute the total work among the worker nodes such that the CDMestimates are computed in a scalable manner. The following describesvarious operations of the algorithm for simulating one set of compounddistribution sample. The algorithm for perturbation analysis, whichrequires simulation of multiple sets of compound distribution sample,can be implemented by repeating multiple times some operations of theexample algorithm of FIG. 7. The computer algorithm starts after theclient sends the user input (model specifications with uncertaintyestimates, definitions of loss adjustment functions, and turningparameters) and the scenario data to the master node. The logic flow 700reflects receiving the user input at block 710. The master broadcasts(copies) the user input to all worker nodes, with the worker nodesreceiving the user input at block 750. The logic flow 700 reflectsoptionally receiving the scenario data at block 715, with the workernodes each receiving either a copy (if each one receives all of thescenario data) or slice (if each one only receive a portion of thescenario data) at block 755.

If the user has provided externally simulated counts (empiricalfrequency model), then the master node distributes the scenario dataequitably among worker nodes. The data flow is similar to the flow thatis shown in FIG. 2, except that the scenario data are distributedinstead of the loss data. If the user's scenario data does not containexternally simulated counts, then the master node broadcasts a copy ofthe entire scenario data to all worker nodes. Again, the data flow issimilar to the flow that is shown in FIG. 2, except that the scenariodata is copied to and not distributed among all worker nodes.

The algorithm to simulate an unperturbed sample proceeds as follows. Ifthe user has not specified any scenario data or the user has specifiedthe scenario data without the externally simulated counts, then thetotal sample size M is divided equally among W worker nodes and eachworker node simulates a sample of size M/W. Block 760 in the flowchartexecutes the algorithm of FIG. 4 (no scenario data and no lossadjustment functions) or FIG. 5 (for scenario analysis). Note that themaster node can itself simulate a portion of the sample when the countsare simulated internally, in which case, worker nodes and the masternode each simulate a sample of size of M/(W+1), with block 720 thereforebeing optional. For simplicity of explanation, the subsequentdescription assumes that the master node doesn't simulate any portion ofthe sample, but the proposed system does not preclude such possibility.

If the user has specified scenario data with externally simulatedcounts, then each worker node executes the algorithm of FIG. 5 in thegrey block for the portion of counts that are assigned to it.

The system provides the user two options to receive the estimates of theCDM. The system can send the entire simulated CDM sample to the clientif the user requests it, or the system can prepare an empirical estimateof the CDM. If the sample size is too large, the former option can bevery expensive due to communication costs, in which case, it isrecommended that the user use the second option. The system computes theempirical estimate of the CDM as a set the estimates of various momentsand percentiles of the compound distribution. There are two ways tocompute the empirical estimates of the CDM in a parallel and distributedmanner, depending on whether the total number of sample points, C, thata worker simulates is smaller than a threshold. C is equal to M/W whencounts are simulated internally and it is equal to the number ofobservations of the scenario data that are allocated to a worker nodewhen the user specifies externally simulated counts (empirical frequencymodel):

The logic flow 700 may determine at blocks 725 and 765 whether C issmaller than a threshold. If C is, then each worker node sends itslocally simulated sample to the master node, at blocks 735 and 775. Themaster grid node may then assemble the M-sized sample and use theM-sized sample to compute estimates of the moments and percentiles atblock 737.

If C is larger than a threshold, then the logic flow 700 may proceed toblocks 730 and 770. Each worker node summarizes the sample that itsimulates to compute local estimates of the moments and percentiles andsends them over to the master node, which computes the average over allworker nodes to produce the final estimates of the summary statisticsand percentiles of the aggregate distribution.

The estimates of the moments, such as mean, variance, skewness, andkurtosis, are computable for the M-sized sample whether the M-sizedsample is assembled on the master node or not, because their exactvalues can be computed by using the moments that each worker nodecomputes by using its partial sample. For estimating percentiles, it isdesirable to assemble the entire sample at the master node. However, thelarger the M, the more the cost of communicating and assembling thesample on the master node will be. This disclosure makes an assumptionthat if C value is larger than a certain threshold, then the average ofthe W estimates of a particular percentile, each of which is computed bya worker node from its local sample, is closer to the estimate of thepercentile that would be computed by using the entire M-sized sample.This helps eliminate the O(M) communication cost and makes the solutionscalable for larger M. The threshold on C is one of the tuningparameters that the user can specify.

When the user requests perturbation analysis, the work of simulating Pperturbed samples is divided among W worker nodes. If P is greater thanW, then each worker executes the algorithm of FIG. 6 in block 760 tosimulate P/W number of perturbed samples, each of size M. Each workercomputes the perturbed CDM estimates (moments and percentiles) for eachof its samples and sends the estimates to the master node. If P issmaller than W, then each perturbed sample is generated just the way theunperturbed sample is generated—that is, each worker simulates M/Wsample points of the perturbed sample and depending on the threshold onM/W, it either sends the whole perturbed sample to the master node orthe summary statistics of its local portion to the master node. Thisprocess is repeated P times to simulate P perturbed samples. The masternode then averages the perturbed estimates for all P samples to computethe mean and standard error of each moment and percentile estimate.

Scalability Results

FIG. 8 and FIG. 9 illustrate examples of scalability results for thecomputation of an empirical CDM estimate. FIG. 8 can relate to bothseverity model generation, as discussed with reference to FIG. 12, andthe fitting of the approximating distribution.

The parallel and distributed algorithms of this disclosure may beimplemented in procedures, for example, of the SAS® High PerformanceEconometrics product from SAS Institute, Inc. of Cary, N.C. PROCHPSEVERITY implements at least the high-performance severity modeling.PROC HPCDM implements at least the high-performance compounddistribution modeling. Examples of the scalability results for PROCHPSEVERITY and PROC HPCDM are shown in FIG. 8 and FIG. 9, respectively.The plots 810, 910 shows the time it takes to finish the estimation taskfor a varying number of grid nodes while keeping everything else thesame. Each grid node has 16 CPU cores. PROC HPSEVERITY times are forestimating eight severity models for eight probability distributions(e.g., Burr, exponential, gamma, generalized Pareto, inverse Gaussian,lognormal, Pareto, and Weibull) with an input severity data thatcontains approximately 52 million observations of left-truncated andright-censored loss values. Each severity model includes fiveregressors. PROC HPCDM times are for simulating 1 million yearly lossevents to create and analyze one unperturbed sample and 50 perturbedsamples for the ground-up loss and applying one loss adjustmentfunction.

The example plots show that the estimation time can be reduced by usingmore nodes. The incremental benefit may decrease as the number of nodesincreases because the cost of synchronizing communications among nodesmay start to outweigh the amount of computational work that is availableto each node.

FIG. 10 illustrates a block diagram for an aggregate distributionanalysis system 100. In one embodiment, the aggregate distributionanalysis system 100 may include a computer-implemented system having anaggregate analysis application 1020. The aggregate analysis application1020 may include a software application having one or more components.

The aggregate analysis application 1020 may be generally arranged toreceive a model specification 1010 and to generate aggregate statisticsfor the model specification 1010. The aggregate analysis application1020 may include a configuration component 1030, a perturbationcomponent 1040, a sample generation controller 1060, and an aggregationcomponent 1070. The aggregate analysis application 1020 may interactwith a sample generation component 1080 operative to generate samples1090 based on models 1050, the samples 1090 used to generate theaggregate statistics for the model specification 1010.

The configuration component 1030 may be generally arranged to receive acompound model specification 1010 comprising a frequency model and aseverity model, the compound model specification 1010 including a modelerror 1015 including a frequency model error and a severity model error.The frequency model may correspond to a predicted loss frequency for anentity over a period of time, wherein the severity model may correspondto a predicted severity of loss for the entity, wherein the aggregatestatistics and estimates of errors in the compound model specificationcorrespond to a prediction and uncertainty of aggregate loss for theentity over the period of time. The frequency model and severity modelmay have been generated based on, at least in part, historic loss datafor the entity.

The perturbation component 1040 may be generally arranged to generate aplurality of frequency models from the frequency model and the frequencymodel error by perturbing the frequency model according to the frequencymodel error. Each of the generated plurality of frequency models maycorrespond to an adjustment of the received frequency model according toa deviation from the received frequency model within the frequency modelerror.

The perturbation component 1040 may be generally arranged to generate aplurality of severity models from the severity model and the severitymodel error by perturbing the severity model according to the severitymodel error. Each of the generated plurality of severity models maycorrespond to an adjustment of the received severity model according toa deviation from the received severity model within the severity modelerror.

The perturbation component 1040 may generally be arranged to form aplurality of perturbed models 1050. Each of the plurality of perturbedmodels 1050 may include of one of the frequency models and one of theseverity models.

The sample generation controller 1060 may be generally arranged toinitiate the generation of a plurality of compound model samples 1090from models 1050 comprising each of the plurality of frequency modelsand severity models. The sample generation controller 1060 may initiatethe generation of the plurality of compound model samples 1090 using asample generation component 1080. The sample generation component 1080may be local to a same computer as the aggregate analysis application1020, may be executed on a different computer as the aggregate analysisapplication 1020, and may be executed according to distributed computingtechniques. In some embodiments, initiating the generation of aplurality of compound model samples 1090 may comprise the submission ofmodels 1050 to a master grid node 130 of a grid computing system. Insome embodiments, the sample generation component 1080 may comprise anelement of the aggregate analysis application 1020.

The aggregation component 1070 may be generally arranged to generateaggregate statistics from the plurality of compound model samples. Insome embodiments, the aggregation component 1070 may receive samples1090 from the sample generation component 1080 for the generation of theaggregate statistics. In some example embodiments the aggregationcomponent 1070 may be implemented completely on a same computer as oneor more of the configuration component 1030, perturbation component1040, and sample generation controller 1060. In some embodiments atleast a portion of the aggregation component 1070 may be distributedamong one or more worker grid nodes 150 of a grid computing system, thedistributed aggregation component 1070 performing at least a portion ofthe generation of aggregate statistics on the worker grid nodes 150. Theaggregate statistics may include an aggregate prediction and an error ofthe aggregate prediction, wherein the error of the aggregate predictionreflects an estimated error of the compound model specification 1010.

The compound model specification 1010 may include a plurality ofcovariates. The model error specification may include a plurality ofcovariate uncertainties. Perturbing the model may include perturbing thecovariates according to the plurality of covariate uncertainties.

Perturbing the frequency model according to the frequency model errormay include perturbing the covariates that are included in the frequencymodel according to the plurality of covariate uncertainties. Perturbingthe severity model according to the severity model error may includeperturbing the covariates that are included in the severity modelaccording to the plurality of covariate uncertainties. As such, theerror of the aggregate prediction may reflect the model error includingthe plurality of covariate uncertainties.

FIG. 11 illustrates the distributed generation of samples among aplurality of worker nodes 1180.

The sample generation controller 1060 may be generally arranged todivide the generation of the plurality of compound model samples 1090among a plurality of distributed worker nodes 1180. The distributedworker nodes 1180 may be executed by a plurality of computing devices ina distributed computing environment such as a grid computingenvironment. The worker nodes 1180 may therefore correspond to theworker grid nodes 150 described with reference to FIG. 1, FIG. 2, andFIG. 3, for example. The distribution of data to worker nodes 1180, thegathering of data from worker nodes 1180, and the management of theoperations of the worker nodes 1180 may therefore be performed by amaster node on a separate device from the aggregate analysis application1020. In some embodiments, the master node may also function as one ofthe worker nodes 1180.

Each of the plurality of worker nodes 1180 may generate a portion of thecompound model samples 1090. Depending on the number of different modelsto be generated different schema may be used for dividing the workbetween the worker nodes 1180. The configuration component 1030 mayreceive a number of models to generate, the plurality of frequencymodels and the plurality of severity models generated based on thereceived number.

Where the number of models to be generated is at least equal in numberto the plurality of distributed worker nodes 1180, each of thedistributed worker nodes 1180 may be assigned one or more of the models.Each of the distributed worker nodes 1180 may be assigned one or more ofthe frequency models and/or one or more of the severity models. Eachdistributed worker node may generate all of the samples for the one ormore models that it is assigned. The sample generation controller 1060may determine that the number of models is at least equal in number tothe plurality of distributed worker nodes 1180 and divide the generationof the plurality of compound model samples 1090 among the plurality ofdistributed worker nodes 1180 by assigning each of the plurality ofdistributed worker nodes 1180 the generation of all compound modelsamples 1090 for one or more of the plurality of frequency models andthe plurality of severity models.

This may provide the advantage(s) that each of the distributed workernodes 1180 may receive only the data for the one or more models that itis assigned without receiving the data for the one or more models thatit is not assigned, with these models being assigned to other workernodes. The sample generation controller 1060 may receive the models 1050and arrange that each worker node of the worker nodes 1180 receive aportion of the models 1050 limited to those models assigned to thatworker node. The sample generation controller 1060 may perform thisarrangement by transmitting the models to the worker nodes 1180, byindicating to a master node what models are to be transmitted to each ofthe worker nodes 1180, but arranging that each of the worker nodes 1180operate on a portion of the models generated at that worker node andtherefore already present at the worker nodes 1180, or according to anyother technique.

Where the number of models to be generated is less in number than theplurality of distributed worker nodes 1180 there are insufficient modelsfor each of the distributed worker nodes 1180 to be exclusively assignedto the generation of all samples for one or more models. Each of thedistributed worker nodes 1180 may therefore be assigned a portion of thesamples for all of the models 1050. Rather than a division by model,each worker node will receive every model and will perform samplegeneration for all of the received models. The sample generationcontroller 1060 may determine that the number of models is fewer innumber than the plurality of distributed worker nodes 1180 and dividethe generation of the plurality of compound model samples 1090 acrossthe plurality of distributed worker nodes 1180 by assigning each of theplurality of distributed worker nodes 1180 to generate a portion ofsamples for all of the plurality of frequency models and the pluralityof severity models.

The aggregation component 1070 may be generally arranged to receiveaccumulated samples 1190 from the worker nodes 1180, the accumulatedsamples comprising a collection of all of the samples generated by eachof the worker nodes 1180. The accumulated samples 1190 may correspond tothe samples 1090 used by the aggregation component 1070 to generateaggregate statistics 1110.

A controller 1120 may submit a model specification 1010 including amodel error 1015 to the aggregate analysis application 1020 and receivethe aggregate statistics 1110 in response. The controller 1120 maycorrespond to a user device used by an operator of the aggregatedistribution analysis system 100. The controller 1120 may comprise asoftware application implemented by the client computer 110 describedwith reference to FIG. 1, FIG. 2, and FIG. 3, for example. The aggregateanalysis application 1020 may be implemented by the master grid node 130and operate in response to the initiation by the controller 1120 ofaggregate distribution analysis.

The model specification 1010 may be generated by a model generationapplication 1130. The model specification 1010 may be generated based onhistoric data for a person or other entity. The historic data mayreflect losses experienced by the entity and be used to determine thehistoric distribution of the frequency of losses and the historicdistribution of the severity of losses. The historic data may be used togenerate a severity model and frequency model which comprise the modelspecification 1010.

FIG. 12 illustrates an embodiment of the distributed generation ofcompound model samples 1090. FIG. 12 describes a system of fittingfrequency and severity models. It will be appreciated that FIG. 12 andits associated text is included to provide context for the operation ofthe described embodiments.

A model generation application 1130 may submit data 1210 to a pluralityof worker nodes 1180, the data 1210 reflecting historic data for anentity. The data 1210 may have been submitted to the model generationapplication 1130 by a user of the aggregate distribution analysis system100. The submission of data 1210 to the model generation application1130 and the initiation of model generation may be performed and managedby the controller 1120.

The model generation application 1130 may distribute the data 1210 tothe worker nodes 1180. A model generation component 1220 on the workernodes 1180 may generate the model specification 1010 based on the data1210 distributed to the worker nodes 1180. The model generationcomponents 1220 may work in coordination with each other to generate themodel specification 1010 using distributed networking techniques. Themodel specification 1010 may be returned to the model generationapplication 1130 once generated.

The model specification 1010 may be transmitted or returned to thecontroller 1120 by the model generation application 1130. The controller1120 may transmit the model specification 1010 to the aggregate analysisapplication 1020. The aggregate analysis application 1020 may generatemodels 1050 including the severity models and frequency models. Theaggregate analysis application 1020 may distribute the models 1050 to aplurality of sample generation components 1080 on the distributedworkers nodes 1180.

The plurality of sample generation components 1080 on the worker nodes1180 may generate partial samples 1295, each of the sample generationcomponents 1080 generating a portion of samples 1090. The worker nodes1180 may each submit the partial samples 1295 to the aggregate analysisapplication 1020, the accumulation of the partial samples 1295comprising accumulated samples 1190.

FIG. 13 illustrates an embodiment of the distributed generation ofaggregate statistics 1110.

In some embodiments, the aggregate distribution analysis system 100 mayat least partially distribute the work of generating the aggregatestatistics 1110 from the partials samples 1295. The partial samples 1295may use a significant amount of storage space and may therefore requirea significant amount of network bandwidth and time to transfer from theworker nodes 1180 to the computing device implementing the aggregateanalysis application 1020. It may therefore be useful to generateaggregate statistics 1110 without transmitting the partial samples 1295off the worker nodes 1180.

To enable generating aggregate statistics 1110 without transmitting thepartial samples 1295 off the worker nodes 1180, a plurality ofstatistics generation components 1360 may be implemented by the workernodes 1180. The statistics generation components 1360 on each of theworker nodes 1180 may generate partial statistics based on the partialsamples present on each worker node. The partial statistics may comprisethe same statistics as would be generated for the accumulated samples1190 but generated only for the partial samples present on the workernode. The partial statistics for a worker node may include alternativeor additional statistics generated by the statistics generationcomponent 1360 for use by the aggregate analysis application 1020 ingenerating the aggregate statistics 1110.

The aggregation component 1070 may be generally arranged to receive aplurality of partial statistics 1395 from each of the distributed workernodes 1180 and generate the aggregate statistics 1110 from the pluralityof partial statistics 1395 received from each of the distributed workernodes 1180. Each of the partial statistics 1395 may include arepresentation of a distribution of the partial samples 1295 on each ofthe worker nodes 1180. The aggregate statistics 1110 may determine arepresentation of a distribution of the samples in aggregate based on acombination of the distributions of the received partial statistics1395.

FIG. 14 illustrates one embodiment of a logic flow 1400. The logic flow1400 may be representative of some or all of the operations executed byone or more embodiments described herein.

In the illustrated embodiment shown in FIG. 14, the logic flow 1400 maybegin at block 1410.

The logic flow 1400 may receive models at block 1420. The models may bereceived as a compound model specification 1010 comprising a frequencymodel and a severity model and a plurality of perturbed models 1050.

The logic flow 1400 may determine the number of received models (N) atblock 1430. The number of models may include the number of perturbedmodels 1050 and the received model specification 1010 used to generatethe perturbed models 1050 collectively equaling the number of models N.

The logic flow 1400 may receive a number of worker nodes (W) to be usedat block 1435. The number of worker nodes may be determined according touser input, may be determined according to an available number of workernodes in a distributed computing system or assigned in a distributedcomputing system. The number of worker nodes may be receivedautomatically from a controller for a distributed computing system basedon the availability of resources within the distributed computingsystem.

The logic flow 1400 may determine whether the scenario is large anddistributed in block 1440. The scenario being distributed may correspondto the scenario data already being distributed among worker nodes. Thescenario being large may correspond to a determination that an estimatedtime that would be used to move the scenario data back to a master nodebeing larger than a configured or otherwise specified time allowed. Assuch, whether the scenario is large may be dependent on networkconfiguration, network usage, and either user-specific ordeveloper-configured standards for an allowable amount of networktransmission time. If the scenario is large and distributed, then thelogic flow 1400 may continue to block 1442 to simulate partial samplesfor all models using a local scenario. Otherwise, the logic flow 1400may continue to block 1444 to distribute a full copy of the scenario toworker nodes.

The logic flow 1400 may simulate partial samples for all models usinglocal scenario data at block 1442. The logic flow 1400 may then continueto decision block 1475.

The logic flow 1400 may distribute a full copy of the scenario toworkers at block 1444.

The logic flow 1400 may determine whether the number of models isgreater than or equal to (e.g., at least equal to) the number of workernodes at block 1446. If so, the logic flow 1400 may continue to block1448. Otherwise, the logic flow 1400 may continue to block 1447.

The logic flow 1400 may simulate partial samples for all models usingthe received full copy of scenario data at block 1447. Because themodels may not be individually and uniquely assigned to particularworkers, each worker can generate samples for every model, with thesamples for each scenario distributed across all of the workers. Thelogic flow 1400 may then continue to block 1475.

The logic flow 1400 may simulate full samples for all of the assignedmodels, for each worker node, at block 1448. Because the number ofmodels is at least equal to the number of workers, each worker can berestricted to working on generating a sample for just one or more of themodels. Each worker node may then compute the statistics for the fullsample for each assigned model. The logic flow 1400 may then receive thefull-sample statistics from workers at a master node at block 1449. Thelogic flow 1400 may then proceed to block 1490 to generate aggregatestatistics.

The logic flow 1400 may determine whether the samples are to becollected at a master node or controller computer at block 1475. Thismay be determined according to a user configuration of the aggregatedistribution analysis system 100. If the samples are to be collected,the logic flow 1400 may continue to block 1480 and receive partialsamples from workers. If the samples are not to be collected, the logicflow 1400 may continue to block 1460 and receive partial statistics fromworkers.

The logic flow 1400 may receive partial statistics from workers at block1460. Where each of the workers generated samples for a particular oneor more models the partial statistics may comprise a set of statisticsfor each model. Because each model uniquely has samples generated at aparticular worker, every model is able to have its individual statisticsgenerated based entirely on samples present on a particular worker.

The logic flow 1400 may receive partial samples from workers at block1480.

The logic flow 1400 may aggregate the partial samples at block 1485.Aggregating the partial samples may comprise reorganizing the partialsamples into units for the generation of statistics. For instance, thepartial samples may be reorganized into groups organized by the modelbased on which they were generated.

The logic flow 1400 may generate aggregate statistics at block 1490.Where partial samples were received from the workers the aggregatestatistics may be generated according to the accumulated samples. Wherepartial statistics were received from the workers the aggregatestatistics may be generated according to the accumulated statistics.Where full-sample statistics were received from workers the aggregatestatistics may be copies of the full-sample statistics.

The logic flow 1400 may report the aggregate statistics at block 1495.

FIG. 15 illustrates one embodiment of a logic flow 1500. The logic flow1500 may be representative of some or all of the operations executed byone or more embodiments described herein.

In the illustrated embodiment shown in FIG. 15, the logic flow 1500 mayreceive a compound model specification 1010 comprising a frequency modeland a severity model, the compound model specification 1010 including amodel error 1115 comprising a frequency model error and a severity modelerror at block 1502.

The logic flow 1500 may generate a plurality of frequency models fromthe frequency model and the frequency model error by perturbing thefrequency model according to the frequency model error, wherein each ofthe generated plurality of frequency models corresponds to an adjustmentof the received frequency model according to a deviation from thereceived frequency model within the frequency model error at block 1504.

The logic flow 1500 may generate a plurality of severity models from theseverity model and the severity model error by perturbing the severitymodel according to the severity model error, wherein each of thegenerated plurality of severity models corresponds to an adjustment ofthe received severity model according to a deviation from the receivedseverity model within the severity model error at block 1506.

The logic flow 1500 may generate a plurality of compound model samples1190 from each of the plurality of frequency models and severity modelsat block 1508.

The logic flow 1500 may generate aggregate statistics 1110 from theplurality of compound model samples 1190 at block 1510.

The embodiments are not limited to this example.

Compressed Approximating Parametric Distribution Generation

FIG. 16 illustrates an example of a computing architecture for anaggregate distribution analysis system 100 in which a compressedapproximating parametric distribution 1695 is produced. The aggregatedistribution analysis system 100 may be used for compressing a large,empirical sample of a compound probability distribution into anapproximate parametric distribution by using parallel and distributedprocessing.

Some interesting aspects of the disclosed system include the followingfeatures:

1.1—The disclosed system can estimate a parametric distributionapproximation to the compound probability distribution that cannot becomputed in a closed form. When estimated by using a distance-basedestimator that minimizes the distance between empirical (nonparametric)and parametric cumulative distribution functions (CDF), the parametricdistribution serves as a good approximation from which quantities ofinterest such as quantiles can be estimated with sufficient accuracy.

1.2—The intractability of the convolution operation that defines thecompound distribution precludes its computation in a closed form. Sooften the compound distribution is represented by a large, simulatedempirical sample. It is in such cases, for example, that some of thesystem's novelty and benefits can be realized. The disclosed methodessentially compresses the compound distribution's representation fromthe large set of numbers in the empirical sample to a much smaller setof numbers that contains just the parameter estimates of theapproximating distribution. After the approximating distribution isestimated, the large, empirical sample need not be retained. Allsubsequent operations, especially the operations that requirecomputation of quantiles from the compound distribution, can be carriedout by using the highly parsimonious parametric approximation.

1.3—The disclosed system is especially efficient when the largeempirical sample is distributed across a cluster of computers, each ofwhich stores a portion of the empirical sample. Instead of bringing thewhole sample back to one computer and storing it there, the systemestimates the parametric distribution approximation in a parallel anddistributed fashion that works on the local portion of the empiricalsample.

1.4—As an embodiment of the estimation method, the disclosed systemincludes a nonlinear optimization technique that uses an objectivefunction that minimizes the distance between the nonparametric(empirical) and parametric estimates of the cumulative distributionfunction (CDF), which in turn ensures that the quantiles estimated fromthe parametric approximation are accurate approximations of thequantiles that would be estimated from the nonparametric (input) sample.

1.5—Further, as an embodiment of the approximating parametricdistribution, the system can estimate and compare two types of mixturedistributions. The first type involves two components such that onecomponent attempts to approximate the main (body) region of thedistribution and the other component attempts to approximate the tailregion of the distribution. Each component can have a different,user-specified probability distribution. The other type of mixturedistribution is a mixture of two or more component distributions, eachof which has a user-specified distribution. The number of components inthe mixture are estimated by conducting a search over the set [2,N],where N is the maximum number of components that the user specifies. Thesearch uses a fit statistic that accounts for both accuracy andcomplexity of the model. The system chooses the smallest number ofcomponents that maximizes the fit statistic.

For an example, an economic capital model (ECM) of an entity typicallyestimates the worst-case, enterprise-wide, aggregate loss that theentity expects to incur in a particular time period. The estimate of theenterprise-wide aggregate loss is used for computing minimum capitalrequirements that are needed not only to keep the entity solvent andprofitable but also to satisfy industry regulations such as Basel IIIand Solvency II. The enterprise-wide aggregate loss is computed byaggregating losses from different lines of business or risk categories.The loss for each line of business is in turn estimated by what iscalled a compound probability distribution, which is the distribution ofa sum of random variables that represent the severity (magnitude) of anindividual loss such that the number of terms in the summation is also arandom variable that represents the frequency (count) of loss events. Acompound distribution computation requires a mathematical operationcalled convolution and in all but some simple cases, it is notcomputable in a closed form—that is, it cannot be expressed as amathematical formula that can be easily computed by a computer. So it isestimated by a Monte Carlo simulation method that generates a large,empirical sample from the distribution. To increase the chance ofcapturing all the salient features of the distribution, especially thosein the tail region, the empirical sample may need to contain tens tohundreds of millions points, for example. One of the key steps in theECM estimation process may involve the estimation of a large number ofpercentiles from the compound distribution of each line of business orrisk category. A typical ECM application may need to compute one millionor more percentiles from each compound distribution. Searching formillions of percentiles in multiple very large empirical samples becomescomputationally expensive. Also, it is costly to store the compounddistribution for multiple lines of business because the distribution isdefined by the entire empirical sample. The percentile computations andstorage usage become even more challenging when the compounddistribution's empirical sample is simulated and distributed on multiplecomputers. The disclosed system attempts to alleviate both problems byusing a parallel and distributed algorithm to estimate an approximatingparametric distribution to the distributed empirical sample of thecompound distribution. The embodiments are not limited to this example.Other example applications of one or more systems described herein maybe in the realms of scientific data, research data, academic data,communication data, data from physical objects, or data relating tovarious devices or instruments, for instance.

The disclosed solution finds a parametric distribution that serves asthe best approximation to the empirical sample of the compounddistribution. The parametric distribution is defined by a set of a fewparameters; so it is a highly parsimonious approximation that can bestored in a much smaller space as compared to the empirical sample. Thisis equivalent to compressing the information that is stored in the largeempirical sample to a set of few numbers. The time it takes to computethe quantile from the approximating parametric distribution is expectedto be smaller than the time it takes to compute an equivalent percentilefrom the empirical sample, especially when the empirical sample issimulated and stored in a distributed fashion across multiple computers.In fact, the disclosed system is beneficial especially for such cases,because the system computes the parametric approximation by collocatingthe computations with the local portion of the sample thereby avoidingthe need to gather the entire sample on any one computer. The computerscommunicate with each other only a small set of parameter values. Thisdesign reduces the cost of communication and makes the system scalableto large empirical samples and large number of computers. Parametricapproximation of the distributed empirical sample further avoids theneed to implement complex, distributed algorithms for computingpercentiles or other statistics from the distributed sample.

The parametric distribution can approximate the empirical sample asaccurately as possible. To that end, the system can estimate theparameters of the approximating distribution by using a nonlinearoptimizer that minimizes a distance-based objective function. Suchobjective functions can be derived from the distance between theempirical (nonparametric) distribution function and the parametriccumulative distribution function (CDF). Minimizing them in turn ensuresthat the quantile that is computed from the parametric distribution is aclose approximation of the percentile that would be computed by usingthe full empirical sample. Further, to account for the possibility of amultimodal compound distribution, the system can use different types ofmixture distributions as approximating distributions.

The disclosed parallel and distributed solution can be implemented atleast by using the computing architecture as shown in FIG. 16. It willbe appreciated that the computing architecture shown in FIG. 16 maygenerally correspond to the computing architecture in accordance withFIG. 1, FIG. 2, and FIG. 3, for example, with the results 190 producinga compressed approximating parametric distribution 1695. The empiricalsample of the compound distribution (CD) is assumed to have beensimulated in a distributed fashion such that each node of the gridappliance stores a portion of the sample.

The general flow of the solution is as follows:

1. The client computer 110 receives user input, which can include thefollowing:

Candidate approximating distributions: This includes a list ofdistributions that can contain system-provided mixture distributions aswell as user-defined probability distributions. Users can define theirown custom distributions. A custom distribution is a programmaticdefinition of the probability density function (PDF) and the cumulativedistribution function (CDF) (or its variant, the survival distributionfunction (SDF)) along with any restrictions on the parameter ranges anda parameter initialization program.

Fit statistic: A fit statistic measures how well a model fits the data.For example, the user can choose among the several options that thesystem provides.

Tuning parameters 1625: The process of estimating the parameters of aparticular model is guided by several tuning parameters 1625. Theseinclude parameters that control the behavior of the nonlinear optimizer,parameters that control the model search process, and parameters thatcontrol the model initialization (that seeds the optimizer). These alsoinclude the number of grid nodes to use and the number of parallelthreads of computations to use on each node. The system choosesappropriate default value when the user does not provide a value for atuning parameter.

2. Client computer 110 parses the user's input and communicates theproblem specification to the master grid node 140 of the grid appliance.

3. The master grid node 140 communicates the problem specification tothe worker grid nodes 150.

4. For each candidate approximating distribution, the master grid node140 conducts the distributed nonlinear optimization process that isillustrated in FIG. 17. It first initializes the parameter values incooperation with the worker grid nodes 150. It then iterates overvarious parameter values in search of the values that minimize adistance-based objective function. In each iteration, values of theobjective function and its derivatives are computed by worker nodes fortheir local portion of the empirical sample. The master grid node 140aggregates these values from all worker grid nodes 150 and supplies themto the nonlinear optimization algorithm, which uses them to decide thenext best set of parameter values to try. If the iterations converge toan optimal set of parameter values, the master grid node 140 computesthe fit statistic, which might require aggregation of the fit statisticvalues that each worker node computes for its local portion of thesample. The process repeats for all candidate distributions and thedistribution with the best fit statistic is chosen as the approximatingdistribution.

5. The master grid node 140 communicates the best approximatingdistribution and its parameter values back to the client computer 110,which stores it as a compressed parametric representation of thedistributed empirical sample. This best approximating distribution isthen used for all subsequent operations on the compound distributionsuch as computing its quantile (inverse-of-CDF).

One of the key parts of the disclosed system is the form of theapproximating parametric distribution. To account for the possibility ofa multimodal compound distribution, the disclosed system recommends thatthe list of candidate distributions include two types of mixturedistributions. The first type is referred to as mixed-tail distribution.It involves two components such that one component attempts toapproximate the main (body) region of the distribution and the othercomponent attempts to approximate the tail region of the distribution.Each component can have a different, user-specified probabilitydistribution. This type of mixture is defined by using the followingnotation:

g(x): PDF of the body distribution

G(x): CDF of the body distribution

h(x): PDF of the tail distribution

H(x): CDF of the tail distribution

θ: scale parameter for the body distribution

Ω: set of non-scale parameters for the body distribution

ζ: shape parameter for the GDP tail distribution

x_(r): normalized value of the response variable at which the tail stars

p_(n): mixing probability

Given these notations, the PDF f(x) and the CDF F(x) of the mixed-taildistribution are defined as:

${f(x)} = \{ {{\begin{matrix}{\frac{p_{n}}{G( x_{b} )}{g(x)}} & {{{if}\mspace{14mu} x} \leq x_{b}} \\{{p( {1 - p_{n}} )}{h( {x - x_{b}} )}} & {{{if}\mspace{14mu} x} > x_{b}}\end{matrix}{F(x)}} = \{ \begin{matrix}{\frac{p_{n}}{G( x_{b} )}{G(x)}} & {{{if}\mspace{14mu} x} \leq x_{b}} \\{p_{n} + {( {1 - p_{n}} ){H( {x - x_{b}} )}}} & {{{if}\mspace{14mu} x} > x_{b}}\end{matrix} } $

where x_(b)=θx_(r) is the value of the random variable at which the tailstarts. The parameters of this distribution are θ, Ω, ζ, x_(r), andp_(n).

The other type of mixture distribution is a mixture of two or morecomponents, each of which can have a different, user-specifieddistribution. Formally, if f_(i) and F_(i) denote the PDF and CDF,respectively, of component distribution i and p_(i) represents themixing probability that is associated with component i, then the PDF andCDF of the finite mixture of K distribution components are

${f( {{x;\Theta},P} )} = {\sum\limits_{i = 1}^{K}\; {p_{i}{f_{i}( {x;\Theta_{i}} )}}}$${F( {{x;\Theta},P} )} = {\sum\limits_{i = 1}^{K}\; {p_{i}{F_{i}( {x;\Theta_{i}} )}}}$

where Θ_(i) denotes the parameters of component distribution i and Θdenotes the parameters of the mixture distribution, which is a union ofall the Θ_(i) parameters. P denotes the set of mixing probabilities. Allmixing probabilities must add up to one (1)

$( {{\sum\limits_{i = 1}^{K}\; p_{i}} = 1} ).$

A homogeneous mixture, in which all components have a distribution fromthe same parametric family, is often a good candidate to try. An optimalnumber of components (K) also needs to be estimated. One possibility isto conduct a search over the set [2,N], where N is the maximum number ofcomponents to that the user specifies. The search uses a fit statisticthat accounts for both accuracy and complexity of the model. The mixturethat maximizes the fit statistic with smallest number of components ischosen as the best mixture.

Worker grid nodes 150 may receive the empirical CD sample and store itin the distributed database 360. During processing of the empirical CDsample, each of the worker grid nodes 150 may make a copy of theinformation from distributed database 360 to their main memory (e.g.,RAM) to form in-memory empirical CD sample 1650. The in-memory empiricalCD sample 1650 on each of the worker grid nodes 150 may comprise only aportion of the total empirical CD sample, with each of the worker gridnodes 150 operating on only a subset of the empirical CD sample.Alternatively, the in-memory empirical CD sample 1650 on each of theworker grid nodes 150 may comprise a full copy of the total empirical CDsample.

FIG. 17 illustrates an example of a logic flow 1700 for computing acompressed approximating parametric distribution 1695 in a parallel anddistributed manner. The key is to distribute the total work among theworker nodes such that the distribution calculations are computed in ascalable manner. The following describes various operations of thealgorithm.

The master grid node 140 may select a candidate distribution at block1710. In a first time through the iterated process, an initial candidatedistribution may be selected from a plurality of candidatedistributions. In subsequent times through the iterated process of logicflow 1700, a next candidate distribution may be selected from theplurality of candidate distributions.

The master grid node 140 may initialize the distribution at block 1715.Initializing the distribution may comprise setting initial parametervalues in coordination with the worker nodes. The master grid node 140may send the parameters to the worker grid nodes 150 at block 1720.

The master grid node 140 may gather the objective function, gradient,and Hessian (matrix of second-order derivatives) from all of the workergrid nodes 150, add them, and supply them to the optimizer at block1725. The master grid node 140 may enquire the optimizer whether theoptimization process has converged at block 1730. Convergence impliesthat an optimal set of parameter values has been found. If converged,the logic flow 1700 may continue to block 1740. If not, the logic flow1700 may continue to block 1735, where the master grid node 140 may geta new set of parameters from the optimizer and loop back to block 1720to send the new set of parameters to the worker grid nodes 150. Themaster grid node 140 may compute a fit statistic by using the converged,optimal set of parameter values at block 1740.

The master grid node 140 may determine whether there are more candidatedistributions at block 1745. If so, the logic flow 1700 may loop back toblock 1710 to select the next candidate distribution. If not, the mastergrid node 140 may select the best distribution based on the fitstatistics calculated at block 1740 and send the results to the clientcomputer 110 at block 1750.

Each of the worker grid nodes 150 may receive the current candidatedistribution from the master grid node 140 at block 1760. Each of theworker grid nodes 150 may compute a local set of initial parametervalues by using the local portion of the compound distribution sample.Each of the worker grid nodes 150 may employ a user-specified parameterinitialization program. Each of the worker grid nodes 150 may initializethe distribution in coordination with the master grid node 140 at block1765. Each of the worker grid nodes 150 may receive parameters from themaster grid node 140 at block 1770.

Each of the worker grid nodes 150 may locally compute the objectivefunction, gradient, and Hessian at block 1775 by using the local portionof the compound distribution sample. Each of the worker grid nodes 150may send their locally-computed objective function, gradient, andHessian to the master grid node 140 at block 1780.

Each of the worker grid nodes may compute the fit statistics at block1790 by using the local portion of the compound distribution sample.Computing the fit statistics may be performed in coordination with themaster grid node 140 and may include the transmission oflocally-computed fit statistics to the master grid node 140 from each ofthe worker grid nodes 150.

FIG. 18 illustrates a block diagram for an aggregate distributionanalysis system 100. In one embodiment, the aggregate distributionanalysis system 100 may include a computer-implemented system having anaggregate analysis application 1020. The aggregate analysis application1020 may include a software application having one or more components.

The sample analysis application 1830 may be generally arranged toreceive a plurality of samples 1090 and a candidate distributiondefinition 1810 and to generate approximate aggregate statistics 1890from the plurality of samples 1090 based on the candidate distributiondefinition 1810. The sample analysis application 1830 may include aconfiguration component 1840, a distribution fitting component 1850, anda statistics generation component 1860. The sample analysis application1830 may receive samples 1090 from an aggregate analysis application1020. It will be appreciated, however, that the samples 1090 may begenerated according to any technique and not just those discussedherein. In some embodiments where the aggregate analysis application1020 and sample analysis application 1830 are used together, theaggregate analysis application 1020 and sample analysis application 1830may comprise a combined application with a common configurationcomponent corresponding to both the configuration component 1030 andconfiguration component 1840.

The configuration component 1840 may be generally arranged to receive acandidate distribution definition 1810. The candidate distributiondefinition 1810 may comprise a combination of at least two componentdistributions. The candidate distribution definition 1810 may compriseone or more parameters. The candidate distribution definition 1810 maycomprise a combination of two candidate distribution definitions, thetwo candidate distribution definitions comprising a main regiondistribution and a tail region distribution.

The candidate distribution definitions may comprise a finite mixture ofmultiple components, each with a distribution from a family of differentparametric families. The candidate distribution definitions may beselected from a zero-inflated family, which is a mixture of a Bernoullidistribution for zero values and a parametric family for non-zerovalues. This may be useful because the compound distribution samplemight contain a lot of zeroes.

The candidate distribution definition 1810 may comprise a combination ofa determined number of identical component distributions. The determinednumber of the identical distributions may be determined according to acomponent-number search over a range of using two of the identicaldistributions and using a user-defined maximum number of the identicaldistributions. The user-defined maximum may be configured by the userusing the configuration component 1840. The component-number search maybe performed using a criteria that selects a minimum number of theidentical distributions that maximizes a fit statistic.

The distribution fitting component 1850 may be generally arranged toreceive a plurality of model samples 1090, the model samples 1090implying a non-parametric distribution of aggregate loss events. Thedistribution fitting component 1850 may determine parameter values 1870for the one or more parameters of the candidate distribution definition1810. The parameter values 1870 may be determined by optimizing anon-linear objective function through a search over a multidimensionalspace of parameter values. The objective function may calculate adistance between the non-parametric distribution of the loss events asimplied by the model samples 1090 and a parametric distributiondetermined by application of potential parameter values to the candidatedistribution definition 1810.

The model samples may comprise simulated events generated according to amodel. The model may be defined according to a model specification 1010.The model may be generated from historical events. The simulated eventsmay comprise simulated losses for an entity. The historical events maycomprise historical losses for the entity.

The statistics generation component 1860 may be generally arranged togenerate approximated aggregate statistics 1890 for the plurality ofmodel samples 1090 based on an optimized parametric distribution definedby the candidate distribution definition 1810 and the determinedparameter values 1870 and report the approximated aggregate statistics1890. The approximated aggregate statistics 1890 may be reported to auser of a client computer 110. The approximated aggregate statistics 180may include approximated quantiles of the parametric distribution of themodel samples 1090.

FIG. 19 illustrates an example of the examination of multiple differentcandidate distribution definitions.

The configuration component 1840 may be generally arranged to receive aplurality of candidate distribution definitions 1910. The user of theaggregate distribution analysis system 100 may specify the plurality ofcandidate distribution definitions 1910 using a user interface to theconfiguration component 1840.

The distribution fitting component 1850 may be generally arranged tosearch for candidate-specific parameter values 1970 for each of theplurality of candidate distribution definitions 1910 and determinecandidate-specific parameter values 1970 for at least two or morecandidate distribution definitions of the plurality of candidatedistribution definitions 1910.

The sample analysis application 1830 may further comprise a distributionselection component 1950. The distribution selection component 1950 maybe generally arranged to determine fit statistics for the at least twoor more candidate distribution definitions of the plurality of candidatedistribution definitions 1910 based on the candidate-specific parametervalues 1970 associated with the at least two or more candidatedistribution definitions and select a fitted candidate distributiondefinition 1915 from the plurality of candidate distribution definitions1910 according to which of the at least two or more candidatedistribution definitions produced the best fit statistics whileminimizing the objective function.

FIG. 20 illustrates an example of finding an optimal set of parametervalues for a candidate distribution from distributed partial samples.

In some embodiments, the plurality of model samples may be stored acrossa plurality of distributed worker node devices. The distributed workernode devices may each execute worker nodes 1180, the worker nodes 1180each comprising a distribution fitting component 1850. The distributionfitting component on a master node 2030 may generate the potentialparameter values 2070 at a master node device. The distribution fittingcomponent 1850 on the master node 2030 may distribute the potentialparameter values 2070 from the master node device to a distributionfitting component 1850 on the distributed worker node devices.

The worker nodes 1180 on the distributed worker node devices maygenerate local objective function characteristics local to each of thedistributed worker node devices. The distribution fitting component 1850on the master node 2030 may receive objective function characteristics2080 from the distributed worker node devices at the master node device.The objective function characteristics 2080 may comprise an aggregate oflocally-generated objective function characteristics from each of theworker nodes 1180. The distribution fitting component 1850 may thendetermine additional potential parameter values 2090 according to thereceived objective function characteristics, the additional potentialparameter values 2090 corresponding to the iteration of potentialparameter values in the search for the converged, optimal parameters.

In some embodiments, the plurality of model samples 1090 may begenerated across the plurality of distributed worker node devices. Asdescribed with reference to FIG. 12, a sample generation component 1080may execute on each of the worker nodes 1180 to generate partial samples1295 distributed across the worker nodes 1180. The plurality of modelsamples 1090 may be stored in association with the distributed workernode devices on which the plurality of model samples 1090 are generated.

FIG. 21 illustrates one embodiment of a logic flow 2100. The logic flow2100 may be representative of some or all of the operations executed byone or more embodiments described herein.

In the illustrated embodiment shown in FIG. 21, the logic flow 2100 mayreceive a plurality of model samples 1090, the model samples 1090implying a non-parametric distribution of aggregate loss events at block2102.

The logic flow 2100 may receive a candidate distribution definition1810, the candidate distribution definition 1810 comprising acombination of at least two component distributions, the candidatedistribution definition 1810 comprising one or more parameters at block2104.

The logic flow 2100 may determine parameter values 1870 for the one ormore parameters of the candidate distribution definition 1810, theparameter values 1870 determined by optimizing a non-linear objectivefunction through a search over a multidimensional space of parametervalues, the optimization performed by a distribution fitting component1850 operating on a processor circuit, the objective functioncalculating a distance between the non-parametric distribution of theloss events as implied by the model samples 1090 and a parametricdistribution determined by application of potential parameter values tothe candidate distribution definition 1810 at block 2106.

The logic flow 2100 may generate approximated aggregate statistics 1890for the plurality of model samples 1090 based on an optimized parametricdistribution defined by the candidate distribution definition 1810 andthe determined parameter values 1870 at block 2108.

The logic flow 2100 may report the approximated aggregate statistics1890 at block 2110.

The embodiments are not limited to this example.

FIG. 22 illustrates a block diagram of a centralized system 2200. Thecentralized system 2200 may implement some or all of the structureand/or operations for the aggregate distribution analysis system 100 ina single computing entity, such as entirely within a single device 2220.

The device 2220 may comprise any electronic device capable of receiving,processing, and sending information for the aggregate distributionanalysis system 100. Examples of an electronic device may includewithout limitation an ultra-mobile device, a mobile device, a personaldigital assistant (PDA), a mobile computing device, a smart phone, atelephone, a digital telephone, a cellular telephone, ebook readers, ahandset, a one-way pager, a two-way pager, a messaging device, acomputer, a personal computer (PC), a desktop computer, a laptopcomputer, a notebook computer, a netbook computer, a handheld computer,a tablet computer, a server, a server array or server farm, a webserver, a network server, an Internet server, a work station, amini-computer, a main frame computer, a supercomputer, a networkappliance, a web appliance, a distributed computing system,multiprocessor systems, processor-based systems, consumer electronics,programmable consumer electronics, game devices, television, digitaltelevision, set top box, wireless access point, base station, subscriberstation, mobile subscriber center, radio network controller, router,hub, gateway, bridge, switch, machine, or combination thereof. Theembodiments are not limited in this context.

The device 2220 may execute processing operations or logic for theaggregate distribution analysis system 100 using a processing component2230. The processing component 2230 may comprise various hardwareelements, software elements, or a combination of both. Examples ofhardware elements may include devices, logic devices, components,processors, microprocessors, circuits, processor circuits, circuitelements (e.g., transistors, resistors, capacitors, inductors, and soforth), integrated circuits, application specific integrated circuits(ASIC), programmable logic devices (PLD), digital signal processors(DSP), field programmable gate array (FPGA), memory units, logic gates,registers, semiconductor device, chips, microchips, chip sets, and soforth. Examples of software elements may include software components,programs, applications, computer programs, application programs, systemprograms, software development programs, machine programs, operatingsystem software, middleware, firmware, software modules, routines,subroutines, functions, methods, procedures, software interfaces,application program interfaces (API), instruction sets, computing code,computer code, code segments, computer code segments, words, values,symbols, or any combination thereof. Determining whether an embodimentis implemented using hardware elements and/or software elements may varyin accordance with any number of factors, such as desired computationalrate, power levels, heat tolerances, processing cycle budget, input datarates, output data rates, memory resources, data bus speeds and otherdesign or performance constraints, as desired for a givenimplementation.

The device 2220 may execute communications operations or logic for theaggregate distribution analysis system 100 using communicationscomponent 2240. The communications component 2240 may implement anywell-known communications techniques and protocols, such as techniquessuitable for use with packet-switched networks (e.g., public networkssuch as the Internet, private networks such as an enterprise intranet,and so forth), circuit-switched networks (e.g., the public switchedtelephone network), or a combination of packet-switched networks andcircuit-switched networks (with suitable gateways and translators). Thecommunications component 2240 may include various types of standardcommunication elements, such as one or more communications interfaces,network interfaces, network interface cards (NIC), radios, wirelesstransmitters/receivers (transceivers), wired and/or wirelesscommunication media, physical connectors, and so forth. By way ofexample, and not limitation, communication media 2212 include wiredcommunications media and wireless communications media. Examples ofwired communications media may include a wire, cable, metal leads,printed circuit boards (PCB), backplanes, switch fabrics, semiconductormaterial, twisted-pair wire, co-axial cable, fiber optics, a propagatedtransmission, and so forth. Examples of wireless communications mediamay include acoustic, radio-frequency (RF) spectrum, infrared and otherwireless media.

The device 2220 may communicate with other device 2210 over acommunications media 2212 using communications transmissions 2214 viathe communications component 2240. The device 2210 may be internal orexternal to the device 2220 as desired for a given implementation.

The device 2220 may implement the aggregate distribution analysis system100 in a single device. The device 2220 may implement the aggregateanalysis application 1020 comprising the configuration component 1030,perturbation component 1040, sample generation controller 1060, samplegeneration component 1080, and aggregation component 1070. The device2220 may comprise the sample analysis application 1830 comprising theconfiguration component 1840, distribution fitting component 1850,distribution selection component 1950, and statistics generationcomponent 1860. The device 2220 may implement the model generationapplication 1230.

The device 2210 may include an information store of historical loss datafor an entity. The transmissions 2214 sent over media 2212 may comprisethe receipt of historical loss data for the entity from the device 2210.

FIG. 23 illustrates a block diagram of a distributed system 2300. Thedistributed system 2300 may distribute portions of the structure and/oroperations for the aggregate distribution analysis system 100 acrossmultiple computing entities. Examples of distributed system 2300 mayinclude without limitation a client-server architecture, a 3-tierarchitecture, an N-tier architecture, a tightly-coupled or clusteredarchitecture, a peer-to-peer architecture, a master-slave architecture,a shared database architecture, and other types of distributed systems.The embodiments are not limited in this context.

The distributed system 2300 may comprise a client device 2310, a masterdevice 2320, and a plurality of worker devices 2350. In general, theclient device 2310, master device 2320, and worker devices 2350 may bethe same or similar to the device 1720 as described with reference toFIG. 17. For instance, the client device 2310, master device 2320, andworker devices 2350 may each comprise a processing component 2330 and acommunications component 2340 which are the same or similar to theprocessing component 2330 and the communications component 2340,respectively, as described with reference to FIG. 22. In anotherexample, the devices 2310, 2320, 2350 may communicate over acommunications media 2312 using communications transmissions 2314 viathe communications components 2340.

The client device 2310 may comprise or employ one or more clientprograms that operate to perform various methodologies in accordancewith the described embodiments. In one embodiment, for example, theclient device 2310 may implement controller 1120.

The master device 2320 may comprise or employ one or more serverprograms that operate to perform various methodologies in accordancewith the described embodiments. In one embodiment, for example, themaster device 2320 may implement model generation application 1130,aggregate analysis application 1020, and sample analysis application1830. The master device 2320 may comprise the master node 2030.

The worker devices 2350 may comprise or employ one or more serverprograms that operate to perform various methodologies in accordancewith the described embodiments. In one embodiment, for example, theworker devices 2350 may implement the worker nodes 1180, the workernodes 1180 comprising model generation components 1220, samplegeneration components 1080, and distribution fitting components 1850.

Transmissions 2313 transmitted over media 2311 may comprise theinteroperation of the devices 2310, 2320, and 2350.

FIG. 24 illustrates an embodiment of an exemplary computing architecture2400 suitable for implementing various embodiments as previouslydescribed. In one embodiment, the computing architecture 2400 maycomprise or be implemented as part of an electronic device. Examples ofan electronic device may include those described with reference to FIG.17 and FIG. 18, among others. The embodiments are not limited in thiscontext.

As used in this application, the terms “system” and “component” areintended to refer to a computer-related entity, either hardware, acombination of hardware and software, software, or software inexecution, examples of which are provided by the exemplary computingarchitecture 2400. For example, a component can be, but is not limitedto being, a process running on a processor, a processor, a hard diskdrive, multiple storage drives (of optical and/or magnetic storagemedium), an object, an executable, a thread of execution, a program,and/or a computer. By way of illustration, both an application runningon a server and the server can be a component. One or more componentscan reside within a process and/or thread of execution, and a componentcan be localized on one computer and/or distributed between two or morecomputers. Further, components may be communicatively coupled to eachother by various types of communications media to coordinate operations.The coordination may involve the uni-directional or bi-directionalexchange of information. For instance, the components may communicateinformation in the form of transmissions communicated over thecommunications media. The information can be implemented astransmissions allocated to various transmission lines. In suchallocations, each message is a transmission. Further embodiments,however, may alternatively employ data messages. Such data messages maybe sent across various connections. Exemplary connections includeparallel interfaces, serial interfaces, and bus interfaces.

The computing architecture 2400 includes various common computingelements, such as one or more processors, multi-core processors,co-processors, memory units, chipsets, controllers, peripherals,interfaces, oscillators, timing devices, video cards, audio cards,multimedia input/output (I/O) components, power supplies, and so forth.The embodiments, however, are not limited to implementation by thecomputing architecture 2400.

As shown in FIG. 24, the computing architecture 2400 comprises aprocessing unit 2404, a system memory 2406 and a system bus 2408. Theprocessing unit 2404 can be any of various commercially availableprocessors, including without limitation an AMD® Athlon®, Duron® andOpteron® processors; ARM® application, embedded and secure processors;IBM® and Motorola® DragonBall® and PowerPC® processors; IBM and Sony®Cell processors; Intel® Celeron®, Core (2) Duo®, Itanium®, Pentium®,Xeon®, and XScale® processors; and similar processors. Dualmicroprocessors, multi-core processors, and other multi-processorarchitectures may also be employed as the processing unit 2404.

The system bus 2408 provides an interface for system componentsincluding, but not limited to, the system memory 2406 to the processingunit 2404. The system bus 2408 can be any of several types of busstructure that may further interconnect to a memory bus (with or withouta memory controller), a peripheral bus, and a local bus using any of avariety of commercially available bus architectures. Interface adaptersmay connect to the system bus 2408 via a slot architecture. Example slotarchitectures may include without limitation Accelerated Graphics Port(AGP), Card Bus, (Extended) Industry Standard Architecture ((E)ISA),Micro Channel Architecture (MCA), NuBus, Peripheral ComponentInterconnect (Extended) (PCI(X)), PCI Express, Personal Computer MemoryCard International Association (PCMCIA), and the like.

The computing architecture 2400 may comprise or implement variousarticles of manufacture. An article of manufacture may comprise acomputer-readable storage medium to store logic. Examples of acomputer-readable storage medium may include any tangible media capableof storing electronic data, including volatile memory or non-volatilememory, removable or non-removable memory, erasable or non-erasablememory, writeable or re-writeable memory, and so forth. Examples oflogic may include executable computer program instructions implementedusing any suitable type of code, such as source code, compiled code,interpreted code, executable code, static code, dynamic code,object-oriented code, visual code, and the like. Embodiments may also beat least partly implemented as instructions contained in or on anon-transitory computer-readable medium, which may be read and executedby one or more processors to enable performance of the operationsdescribed herein.

The system memory 2406 may include various types of computer-readablestorage media in the form of one or more higher speed memory units, suchas read-only memory (ROM), random-access memory (RAM), dynamic RAM(DRAM), Double-Data-Rate DRAM (DDRAM), synchronous DRAM (SDRAM), staticRAM (SRAM), programmable ROM (PROM), erasable programmable ROM (EPROM),electrically erasable programmable ROM (EEPROM), flash memory, polymermemory such as ferroelectric polymer memory, ovonic memory, phase changeor ferroelectric memory, silicon-oxide-nitride-oxide-silicon (SONOS)memory, magnetic or optical cards, an array of devices such as RedundantArray of Independent Disks (RAID) drives, solid state memory devices(e.g., USB memory, solid state drives (SSD) and any other type ofstorage media suitable for storing information. In the illustratedembodiment shown in FIG. 24, the system memory 2406 can includenon-volatile memory 2410 and/or volatile memory 2412. A basicinput/output system (BIOS) can be stored in the non-volatile memory2410.

The computer 2402 may include various types of computer-readable storagemedia in the form of one or more lower speed memory units, including aninternal (or external) hard disk drive (HDD) 2414, a magnetic floppydisk drive (FDD) 2416 to read from or write to a removable magnetic disk2418, and an optical disk drive 2420 to read from or write to aremovable optical disk 2422 (e.g., a CD-ROM or DVD). The HDD 2414, FDD2416 and optical disk drive 2420 can be connected to the system bus 2408by a HDD interface 2424, an FDD interface 2426 and an optical driveinterface 2428, respectively. The HDD interface 2424 for external driveimplementations can include at least one or both of Universal Serial Bus(USB) and IEEE 1394 interface technologies.

The drives and associated computer-readable media provide volatileand/or nonvolatile storage of data, data structures, computer-executableinstructions, and so forth. For example, a number of program modules canbe stored in the drives and memory units 2410, 2412, including anoperating system 2430, one or more application programs 2432, otherprogram modules 2434, and program data 2436. In one embodiment, the oneor more application programs 2432, other program modules 2434, andprogram data 2436 can include, for example, the various applicationsand/or components of the aggregate distribution analysis system 100.

A user can enter commands and information into the computer 2402 throughone or more wire/wireless input devices, for example, a keyboard 2438and a pointing device, such as a mouse 2440. Other input devices mayinclude microphones, infrared (IR) remote controls, radio-frequency (RF)remote controls, game pads, stylus pens, card readers, dongles, fingerprint readers, gloves, graphics tablets, joysticks, keyboards, retinareaders, touch screens (e.g., capacitive, resistive, etc.), trackballs,trackpads, sensors, styluses, and the like. These and other inputdevices are often connected to the processing unit 2404 through an inputdevice interface 2442 that is coupled to the system bus 2408, but can beconnected by other interfaces such as a parallel port, IEEE 1394 serialport, a game port, a USB port, an IR interface, and so forth.

A monitor 2444 or other type of display device is also connected to thesystem bus 2408 via an interface, such as a video adaptor 2446. Themonitor 2444 may be internal or external to the computer 2402. Inaddition to the monitor 2444, a computer typically includes otherperipheral output devices, such as speakers, printers, and so forth.

The computer 2402 may operate in a networked environment using logicalconnections via wire and/or wireless communications to one or moreremote computers, such as a remote computer 2448. The remote computer2448 can be a workstation, a server computer, a router, a personalcomputer, portable computer, microprocessor-based entertainmentappliance, a peer device or other common network node, and typicallyincludes many or all of the elements described relative to the computer2402, although, for purposes of brevity, only a memory/storage device2450 is illustrated. The logical connections depicted includewire/wireless connectivity to a local area network (LAN) 2452 and/orlarger networks, for example, a wide area network (WAN) 2454. Such LANand WAN networking environments are commonplace in offices andcompanies, and facilitate enterprise-wide computer networks, such asintranets, all of which may connect to a global communications network,for example, the Internet.

When used in a LAN networking environment, the computer 2402 isconnected to the LAN 2452 through a wire and/or wireless communicationnetwork interface or adaptor 2456. The adaptor 2456 can facilitate wireand/or wireless communications to the LAN 2452, which may also include awireless access point disposed thereon for communicating with thewireless functionality of the adaptor 2456.

When used in a WAN networking environment, the computer 2402 can includea modem 2458, or is connected to a communications server on the WAN2454, or has other means for establishing communications over the WAN2454, such as by way of the Internet. The modem 2458, which can beinternal or external and a wire and/or wireless device, connects to thesystem bus 2408 via the input device interface 2442. In a networkedenvironment, program modules depicted relative to the computer 2402, orportions thereof, can be stored in the remote memory/storage device2450. It will be appreciated that the network connections shown areexemplary and other means of establishing a communications link betweenthe computers can be used.

The computer 2402 is operable to communicate with wire and wirelessdevices or entities using the IEEE 802 family of standards, such aswireless devices operatively disposed in wireless communication (e.g.,IEEE 802.24 over-the-air modulation techniques). This includes at leastWi-Fi (or Wireless Fidelity), WiMax, and Bluetooth™ wirelesstechnologies, among others. Thus, the communication can be a predefinedstructure as with a conventional network or simply an ad hoccommunication between at least two devices. Wi-Fi networks use radiotechnologies called IEEE 802.24x (a, b, g, n, etc.) to provide secure,reliable, fast wireless connectivity. A Wi-Fi network can be used toconnect computers to each other, to the Internet, and to wire networks(which use IEEE 802.3-related media and functions).

FIG. 25 illustrates a block diagram of an exemplary communicationsarchitecture 2500 suitable for implementing various embodiments aspreviously described. The communications architecture 2500 includesvarious common communications elements, such as a transmitter, receiver,transceiver, radio, network interface, baseband processor, antenna,amplifiers, filters, power supplies, and so forth. The embodiments,however, are not limited to implementation by the communicationsarchitecture 2500.

As shown in FIG. 25, the communications architecture 2500 comprisesincludes one or more clients 2502 and servers 2504. The clients 2502 mayimplement the client device 2310 or worker devices 2350. The servers2504 may implement the master device 2320. The clients 2502 and theservers 2504 are operatively connected to one or more respective clientdata stores 2508 and server data stores 2510 that can be employed tostore information local to the respective clients 2502 and servers 2504,such as cookies and/or associated contextual information.

The clients 2502 and the servers 2504 may communicate informationbetween each other using a communication framework 2506. Thecommunications framework 2506 may implement any well-knowncommunications techniques and protocols. The communications framework2506 may be implemented as a packet-switched network (e.g., publicnetworks such as the Internet, private networks such as an enterpriseintranet, and so forth), a circuit-switched network (e.g., the publicswitched telephone network), or a combination of a packet-switchednetwork and a circuit-switched network (with suitable gateways andtranslators).

The communications framework 2506 may implement various networkinterfaces arranged to accept, communicate, and connect to acommunications network. A network interface may be regarded as aspecialized form of an input output interface. Network interfaces mayemploy connection protocols including without limitation direct connect,Ethernet (e.g., thick, thin, twisted pair 10/100/1000 Base T, and thelike), token ring, wireless network interfaces, cellular networkinterfaces, IEEE 802.11a-x network interfaces, IEEE 802.16 networkinterfaces, IEEE 802.20 network interfaces, and the like. Further,multiple network interfaces may be used to engage with variouscommunications network types. For example, multiple network interfacesmay be employed to allow for the communication over broadcast,multicast, and unicast networks. Should processing requirements dictatea greater amount speed and capacity, distributed network controllerarchitectures may similarly be employed to pool, load balance, andotherwise increase the communicative bandwidth required by clients 2502and the servers 2504. A communications network may be any one and thecombination of wired and/or wireless networks including withoutlimitation a direct interconnection, a secured custom connection, aprivate network (e.g., an enterprise intranet), a public network (e.g.,the Internet), a Personal Area Network (PAN), a Local Area Network(LAN), a Metropolitan Area Network (MAN), an Operating Missions as Nodeson the Internet (OMNI), a Wide Area Network (WAN), a wireless network, acellular network, and other communications networks.

Some systems may use Hadoop®, an open-source framework for storing andanalyzing big data in a distributed computing environment. Some systemsmay use cloud computing, which can enable ubiquitous, convenient,on-demand network access to a shared pool of configurable computingresources (e.g., networks, servers, storage, applications and services)that can be rapidly provisioned and released with minimal managementeffort or service provider interaction. Some grid systems may beimplemented as a multi-node Hadoop® cluster, as understood by a personof skill in the art. For example, Apache™ Hadoop® is an open-sourcesoftware framework for distributed computing. Some systems may use theSAS® LASR™ Analytic Server in order to deliver statistical modeling andmachine learning capabilities in a highly interactive programmingenvironment, which may enable multiple users to concurrently managedata, transform variables, perform exploratory analysis, build andcompare models and score. Some systems may use SAS In-Memory Statisticsfor Hadoop® to read big data once and analyze it several times bypersisting it in-memory for the entire session. Some systems may have acombination or a variation of the systems mentioned above. Some systemsmay be of other types, designs and configurations.

A computer-implemented method may comprise receiving a compound modelspecification comprising a frequency model and a severity model, thecompound model specification including a model error comprising afrequency model error and a severity model error; generating, using aperturbation component operating on a processor circuit, a plurality offrequency models from the frequency model and the frequency model errorby perturbing the frequency model according to the frequency modelerror, wherein each of the generated plurality of frequency modelscorresponds to an adjustment of the received frequency model accordingto a deviation from the received frequency model within the frequencymodel error; generating, using a perturbation component operating on aprocessor circuit, a plurality of severity models from the severitymodel and the severity model error by perturbing the severity modelaccording to the severity model error, wherein each of the generatedplurality of severity models corresponds to an adjustment of thereceived severity model according to a deviation from the receivedseverity model within the severity model error; generating a pluralityof compound model samples from each of the plurality of frequency modelsand severity models; and generating aggregate statistics from theplurality of compound model samples.

A computer-implemented method may further comprise wherein the frequencymodel corresponds to a predicted loss frequency for an entity over aperiod of time, wherein the severity model corresponds to a predictedseverity of loss for the entity, wherein the aggregate statistics andestimates of errors in the compound model specification correspond to aprediction of aggregate loss for the entity over the period of time.

A computer-implemented method may further comprise wherein the frequencymodel and severity model are generated based on historic loss data forthe entity.

A computer-implemented method may further comprise wherein the aggregatestatistics comprise an aggregate prediction and an error of theaggregate prediction, wherein the error of the aggregate predictionreflects an estimated error of the compound model specification.

A computer-implemented method may further comprise wherein the compoundmodel specification includes a plurality of covariates, wherein a modelerror specification includes a plurality of covariate uncertainties,wherein perturbing the model includes perturbing the covariatesaccording to the plurality of covariate uncertainties.

A computer-implemented method may further comprise wherein the aggregatestatistics comprise an aggregate prediction and an error of theaggregate prediction, wherein the error of the aggregate predictionreflects the plurality of covariate uncertainties.

A computer-implemented method may further comprise dividing thegeneration of the plurality of compound model samples among a pluralityof distributed worker nodes.

A computer-implemented method may further comprise receiving a number ofmodels to generate, the plurality of frequency models and the pluralityof severity models generated based on the received number; determiningthat the number of models is at least equal in number to the pluralityof distributed worker nodes; and dividing the generation of theplurality of compound model samples among the plurality of distributedworker nodes by assigning each of the plurality of distributed workernodes the generation of all compound model samples for one or more ofthe plurality of frequency models and the plurality of severity models.

A computer-implemented method may further comprise receiving a number ofmodels to generate, the plurality of frequency models and the pluralityof severity models generated based on the received number; determiningthat the number of models is fewer in number than the plurality ofdistributed worker nodes; and dividing the generation of the pluralityof compound model samples across the plurality of distributed workernodes by assigning each of the plurality of distributed worker nodes togenerate a portion of samples for all of the plurality of frequencymodels and the plurality of severity models.

A computer-implemented method may further comprise receiving partialstatistics from each of the distributed worker nodes; and generating theaggregate statistics from the partial statistics received from each ofthe distributed worker nodes.

An apparatus may comprise a processor circuit on a device; aconfiguration component operative on the processor circuit to receive acompound model specification comprising a frequency model and a severitymodel, the compound model specification including a model errorcomprising a frequency model error and a severity model error; aperturbation component operative on the processor circuit to generate aplurality of frequency models from the frequency model and the frequencymodel error by perturbing the frequency model according to the frequencymodel error, wherein each of the generated plurality of frequency modelscorresponds to an adjustment of the received frequency model accordingto a deviation from the received frequency model within the frequencymodel error, and to generate a plurality of severity models from theseverity model and the severity model error by perturbing the severitymodel according to the severity model error, wherein each of thegenerated plurality of severity models corresponds to an adjustment ofthe received severity model according to a deviation from the receivedseverity model within the severity model error; a sample generationcontroller operative to initiate the generation of a plurality ofcompound model samples from each of the plurality of frequency modelsand severity models; and an aggregation component operative to generateaggregate statistics from the plurality of compound model samples. Theapparatus may be operative to implement any of the computer-implementedmethods described herein.

A computer-implemented method may comprise receiving a plurality ofmodel samples, the model samples implying a non-parametric distributionof aggregate loss events; receiving a candidate distribution definition,the candidate distribution definition comprising a combination of atleast two component distributions, the candidate distribution definitioncomprising one or more parameters; determining parameter values for theone or more parameters of the candidate distribution definition, theparameter values determined by optimizing a non-linear objectivefunction through a search over a multidimensional space of parametervalues, the optimization performed by a distribution fitting componentoperating on a processor circuit, the objective function calculating adistance between the non-parametric distribution of the aggregate lossevents as implied by the model samples and a parametric distributiondetermined by application of potential parameter values to the candidatedistribution definition; generating approximated aggregate statisticsfor the plurality of model samples based on an optimized parametricdistribution defined by the candidate distribution definition and thedetermined parameter values; and reporting the approximated aggregatestatistics.

A computer-implemented method may further comprise wherein the pluralityof model samples are stored across a plurality of distributed workernode devices, further comprising: generating the potential parametervalues at a master node device; distributing the potential parametervalues from the master node device to the distributed worker nodedevices; receiving objective function characteristics from thedistributed worker node devices at the master node device; anddetermining additional potential parameter values according to thereceived objective function characteristics.

A computer-implemented method may further comprise wherein the pluralityof model samples are generated across the plurality of distributedworker node devices, the plurality of model samples stored inassociation with the distributed worker node devices on which theplurality of model samples are generated.

A computer-implemented method may further comprise wherein the modelsamples comprise simulated events generated according to a model,wherein the model is generated from historical events.

A computer-implemented method may further comprise wherein the simulatedevents comprise simulated losses for an entity, wherein the historicalevents comprise historical losses for the entity.

A computer-implemented method may further comprise wherein theapproximated aggregate statistics comprise approximated quantiles of theparametric distribution of the model samples.

A computer-implemented method may further comprise wherein the candidatedistribution definition comprises a combination of two candidatedistribution definitions, the two candidate distribution definitionscomprising a main region distribution and a tail region distribution.

A computer-implemented method may further comprise wherein the candidatedistribution definition comprises a combination of a determined numberof identical component distributions, wherein the determined number ofthe identical distributions is determined according to acomponent-number search over a range of using two of the identicaldistributions and using a user-defined maximum number of the identicaldistributions.

A computer-implemented method may further comprise the component-numbersearch performed using a criteria that selects a minimum number of theidentical distributions that maximizes a fit statistics.

A computer-implemented method may further comprise receiving a pluralityof candidate distribution definitions; searching for candidate-specificparameter values for each of the plurality of candidate distributiondefinitions; determining candidate-specific parameter values for atleast two or more candidate distribution definitions of the plurality ofcandidate distribution definitions; determining fit statistics for theat least two or more candidate distribution definitions of the pluralityof candidate distribution definitions based on the candidate-specificparameter values associated with the at least two or more candidatedistribution definitions; and selecting a fitted candidate distributiondefinition from the plurality of candidate distribution definitionsaccording to which of the at least two or more candidate distributiondefinitions produced fit statistics best satisfying acandidate-distribution objective function.

An apparatus may comprise a processor circuit on a device; aconfiguration component operative on the processor circuit to receive acandidate distribution definition, the candidate distribution definitioncomprising a combination of at least two component distributions, thecandidate distribution definition comprising one or more parameters; adistribution fitting component operative on the processor circuit toreceive a plurality of model samples, the model samples implying anon-parametric distribution of aggregate loss events, and determineparameter values for the one or more parameters of the candidatedistribution definition, the parameter values determined by optimizing anon-linear objective function through a search over a multidimensionalspace of parameter values, the objective function calculating a distancebetween the non-parametric distribution of the aggregate loss events asimplied by the model samples and a parametric distribution determined byapplication of potential parameter values to the candidate distributiondefinition; and a statistics generation component operative on theprocessor circuit to generate approximated aggregate statistics for theplurality of model samples based on an optimized parametric distributiondefined by the candidate distribution definition and the determinedparameter values and report the approximated aggregate statistics. Theapparatus may be operative to implement any of the computer-implementedmethods described herein.

At least one computer-readable storage medium may comprise instructionsthat, when executed, cause a system to perform any of thecomputer-implemented methods described herein.

Some embodiments may be described using the expression “one embodiment”or “an embodiment” along with their derivatives. These terms mean that aparticular feature, structure, or characteristic described in connectionwith the embodiment is included in at least one embodiment. Theappearances of the phrase “in one embodiment” in various places in thespecification are not necessarily all referring to the same embodiment.Further, some embodiments may be described using the expression“coupled” and “connected” along with their derivatives. These terms arenot necessarily intended as synonyms for each other. For example, someembodiments may be described using the terms “connected” and/or“coupled” to indicate that two or more elements are in direct physicalor electrical contact with each other. The term “coupled,” however, mayalso mean that two or more elements are not in direct contact with eachother, but yet still co-operate or interact with each other.

With general reference to notations and nomenclature used herein, thedetailed descriptions herein may be presented in terms of programprocedures executed on a computer or network of computers. Theseprocedural descriptions and representations are used by those skilled inthe art to most effectively convey the substance of their work to othersskilled in the art.

A procedure is here, and generally, conceived to be a self-consistentsequence of operations leading to a desired result. These operations arethose requiring physical manipulations of physical quantities. Usually,though not necessarily, these quantities take the form of electrical,magnetic or optical transmissions capable of being stored, transferred,combined, compared, and otherwise manipulated. It proves convenient attimes, principally for reasons of common usage, to refer to thesetransmissions as bits, values, elements, symbols, characters, terms,numbers, or the like. It should be noted, however, that all of these andsimilar terms are to be associated with the appropriate physicalquantities and are merely convenient labels applied to those quantities.

Further, the manipulations performed are often referred to in terms,such as adding or comparing, which are commonly associated with mentaloperations performed by a human operator. No such capability of a humanoperator is necessary, or desirable in most cases, in any of theoperations described herein which form part of one or more embodiments.Rather, the operations are machine operations. Useful machines forperforming operations of various embodiments include general purposedigital computers or similar devices.

Various embodiments also relate to apparatus or systems for performingthese operations. This apparatus may be specially constructed for therequired purpose or it may comprise a general purpose computer asselectively activated or reconfigured by a computer program stored inthe computer. The procedures presented herein are not inherently relatedto a particular computer or other apparatus. Various general purposemachines may be used with programs written in accordance with theteachings herein, or it may prove convenient to construct morespecialized apparatus to perform the required method operations. Therequired structure for a variety of these machines will appear from thedescription given.

It is emphasized that the Abstract of the Disclosure is provided toallow a reader to quickly ascertain the nature of the technicaldisclosure. It is submitted with the understanding that it will not beused to interpret or limit the scope or meaning of the claims. Inaddition, in the foregoing Detailed Description, it can be seen thatvarious features are grouped together in a single embodiment for thepurpose of streamlining the disclosure. This method of disclosure is notto be interpreted as reflecting an intention that the claimedembodiments require more features than are expressly recited in eachclaim. Rather, as the following claims reflect, inventive subject matterlies in less than all features of a single disclosed embodiment. Thusthe following claims are hereby incorporated into the DetailedDescription, with each claim standing on its own as a separateembodiment. In the appended claims, the terms “including” and “in which”are used as the plain-English equivalents of the respective terms“comprising” and “wherein,” respectively. Moreover, the terms “first,”“second,” “third,” and so forth, are used merely as labels, and are notintended to impose numerical requirements on their objects.

What has been described above includes examples of the disclosedarchitecture. It is, of course, not possible to describe everyconceivable combination of components and/or methodologies, but one ofordinary skill in the art may recognize that many further combinationsand permutations are possible. Accordingly, the novel architectures areintended to embrace all such alterations, modifications and variationsthat fall within the spirit and scope of the appended claims.

What is claimed is:
 1. At least one computer readable storage mediumcomprising instructions that, when executed, cause a system to: receive,at a master node of a distributed system, a compound model specificationcomprising frequency models, severity models, and one or more adjustmentfunctions, wherein at least one model of the frequency models and theseverity models depend on one or more regressors; distribute, from themaster node, the compound model specification to worker nodes of thedistributed system, each of the worker nodes to at least generate aportion of samples for use in predicting compound distribution modelestimates; receive, at the master node, scenario data comprising valuesof the one or more regressors; determine, at the master node, whetherthe scenario data includes externally simulated counts or does notinclude externally simulated counts; distribute, from the master node, acopy of the scenario data to the worker nodes based on a determinationthat the scenario data does not include externally simulated counts;distribute, from the master node, the scenario data equitably amongworker nodes based on a determination that the scenario data includesexternally simulated counts; generate, at each of the worker nodes, oneor more computer simulated events for a plurality of units using afrequency model of the frequency models, the computer simulated eventsgenerated based on the values of the one or more regressors; generate,at each of the worker nodes, a ground-up severity value for an event fora unit of the plurality of units using a severity model of the severitymodels, the ground-up severity value generated based on the values ofthe one or more regressors, the unit selected at random from theplurality of units; determine, at each of the worker node, an adjustedseverity value based on applying at least one of the one or moreadjustment functions to the ground-up severity value generated from theseverity model of the severity models; generate, at each of the workernodes, an aggregate value based on the ground-up severity value and anadjusted aggregate value based on the adjusted severity value for theone or more computer simulated events; receive, at the master node,sample portions of aggregate values and adjusted aggregate values fromeach of the worker nodes; and predict, at the master node, the compounddistribution model estimates based on the sample portions of theaggregate values and the adjusted aggregate values.
 2. The at least onecomputer readable storage medium of claim 1, the system to assemble, atthe master node, all the sample portions to form a full sample of theaggregate values and the adjusted aggregate values, the full sample ofthe aggregates values and the adjusted aggregate values used to predictthe compound distribution model estimates.
 3. The at least one computerreadable storage medium of claim 1, wherein one of the frequency modelshaving a subset of the one or more regressors, and one of the severitymodels having another subset of the one or more regressors, and whereinthe subset of the one or more regressors and the another subset of theone or more regressors have overlapping regressors, or wherein thesubset of the one or more regressors and the another subset of the oneor more regressors have no overlapping regressors.
 4. The at least onecomputer readable storage medium of claim 1, the scenario datacomprising observations for the plurality of units, an observationcomprising at least one of the values of the regressors used in thefrequency model to generate the one or more computer simulated events orin the severity model to generate the ground-up severity value.
 5. Theat least one computer readable storage medium of claim 1, the computerreadable storage medium comprising further instructions that, whenexecuted, cause the system to: receive the values of the one or moreregressors wherein each of the one or more regressors is a randomvariable; receive regressor uncertainties for the values of the one ormore regressors, wherein each of the regressor uncertainties is definedby a probability distribution of a regressor; and perform a perturbationanalysis to estimate an effect of the regressor uncertainties anduncertainties in model parameters of the frequency model and theseverity model on the uncertainty of the compound distribution modelestimates.
 6. The at least one computer readable storage medium of claim1, comprising further instructions that, when executed, cause the systemto: set the aggregate value as a point in an unadjusted sample of thesamples; set the adjusted aggregate value as a point in an adjustedsample of the samples; determine the compound distribution modelestimates from the unadjusted sample and the adjusted sample; and sendthe compound distribution model estimates as results to a clientcomputer for presentation.
 7. The at least one computer readable storagemedium of claim 1, comprising further instructions, when executed, causethe system to generate the aggregate value based on summing theground-up severity value and one or more other ground-up severityvalues, and the adjusted aggregate value based on summing the adjustedseverity value and one or more other adjusted severity values.
 8. The atleast one computer readable storage medium of claim 1, comprisingfurther instructions that, when executed, cause the system to: determinea total number of events to simulate for a plurality of units based onsumming a number of events for each of a plurality of units; determinewhether the total number of events have been simulated; and in responseto determining the total number of events have been simulated, add theaggregate value and the adjusted aggregate value as next points in anunadjusted sample and an adjusted sample, respectively.
 9. The at leastone computer readable storage medium of claim 8, comprising furtherinstructions that, when executed, cause the system to: in response todetermining the total number of events have not been simulated, select aunit from the plurality of units at random; generate a ground-upseverity value for another event of the selected unit using the severitymodel of the selected unit; determine an adjusted severity value for theselected unit based on applying at least one of the one or moreadjustment functions to the ground-up severity value; and update theaggregate value based on the ground-up severity value and the adjustedaggregate value based on the adjusted value.
 10. The at least onecomputer readable storage medium of claim 1, comprising furtherinstructions that, when executed, cause the system to: determine whetherthe compound model specification includes the scenario data withexternally simulated counts; in response to determining the compoundmodel specification does not include the scenario data with theexternally simulated counts, divide a total sample size equally amongthe worker nodes to simulate samples; and in response to determining thecompound model specification does include scenario data including theexternally simulated counts, assign a portion of the externallysimulated counts to each of the worker nodes to simulate samples.
 11. Acomputer implemented method, comprising: receiving, at a master node ofa distributed system, a compound model specification comprisingfrequency models, severity models, and one or more adjustment functions,wherein at least one model of the frequency models and the severitymodels depend on one or more regressors; distributing, from the masternode, the compound model specification to worker nodes of thedistributed system, each of the worker nodes to at least generate aportion of samples for use in predicting compound distribution modelestimates; receiving, at the master node, scenario data comprisingvalues of the one or more regressors; determining, at the master node,whether the scenario data includes externally simulated counts or doesnot include externally simulated counts; distributing, from the masternode, a copy of the scenario data to the worker nodes based on adetermination that the scenario data does not include externallysimulated counts, or distributing, from the master node, the scenariodata equitably among worker nodes based on a determination that thescenario data includes externally simulated counts; generating, at eachof the worker nodes, one or more computer simulated events for aplurality of units using a frequency model of the frequency models, thecomputer simulated events generated based on the values of the one ormore regressors; generating, at each of the worker nodes, a ground-upseverity value for an event for a unit of the plurality of units using aseverity model of the severity models, the ground-up severity valuegenerated based on the values of the one or more regressors, the unitselected at random from the plurality of units; determining, at each theworker node, an adjusted severity value based on applying at least oneof the one or more adjustment functions to the ground-up severity valuegenerated from the severity model of the severity models; generating, ateach of the worker nodes, an aggregate value based on the ground-upseverity value and an adjusted aggregate value based on the adjustedseverity value for the one or more computer simulated events; receiving,at the master node, sample portions of aggregate values and adjustedaggregate values from each of the worker nodes; and predicting, at themaster node, the compound distribution model estimates based on thesample portions of the aggregate values and the adjusted aggregatevalues.
 12. The computer-implemented method of claim 11, comprisingassembling, at the master node, all the sample portions to form a fullsample of the aggregate values and the adjusted aggregate values, thefull sample of the aggregates values and the adjusted aggregate valuesused to predict the compound distribution model estimates.
 13. Thecomputer implemented method of claim 11, wherein one of the frequencymodels having a subset of the one or more regressors, and one of theseverity models having another subset of the one or more regressors, andwherein the subset of the one or more regressors and the another subsetof the one or more regressors have overlapping regressors, or whereinthe subset of the one or more regressors and the another subset of theone or more regressors have no overlapping regressors.
 14. The computerimplemented method of claim 11, the scenario data comprisingobservations for the plurality of units, an observation comprising atleast one of the values of the regressors used in the frequency model togenerate the one or more computer simulated events or in the severitymodel to generate the ground-up severity value.
 15. The computerimplemented method of claim 11, comprising: receiving the values of theone or more regressors wherein each of the one or more regressors is arandom variable; receiving regressor uncertainties for the values of theone or more regressors, wherein each of the regressor uncertainties isdefined by a probability distribution of a regressor; and performing aperturbation analysis to account for an effect of the regressoruncertainties and uncertainties in model parameters of the frequencymodel and the severity model on the compound distribution modelestimates.
 16. The computer implemented method of claim 11, comprising:setting the aggregate value as a point in an unadjusted sample of thesamples; setting the adjusted aggregate value as a point in an adjustedsample of the samples; determining the compound distribution modelestimates from the unadjusted sample and the adjusted sample; andsending the compound distribution model estimates as results to a clientcomputer for presentation.
 17. The computer implemented method of claim11, comprising generating the aggregate value based on summing theground-up severity value and one or more other ground-up severityvalues, and the adjusted aggregate value based on summing the adjustedseverity value and one or more other adjusted severity values.
 18. Thecomputer implemented method of claim 11, comprising: determining a totalnumber of events to computer simulate for a plurality of units based onsumming a number of events for each of a plurality of units; determiningwhether the total number of events have been simulated; and in responseto determining the total number of events have been simulated, addingthe aggregate value and the adjusted aggregate value as next points inan unadjusted sample and an adjusted sample, respectively.
 19. Thecomputer implemented method of claim 18, comprising: in response todetermining the total number of events have not been simulated,selecting a unit from the plurality of units at random; generating aground-up severity value for another event of the selected unit usingthe severity model of the selected unit; determining an adjustedseverity value for the selected unit based on applying at least one ofthe one or more adjustment functions to the ground-up severity value;and updating the aggregate value based on the ground-up severity valueand the adjusted aggregate value based on the adjusted value.
 20. Thecomputer implemented method of claim 11, comprising: determining whetherthe compound model specification includes the scenario data withexternally simulated counts; in response to determining the compoundmodel specification does not include the scenario data with theexternally simulated counts, dividing a total sample size equally amongthe worker nodes to simulate samples; or in response to determining thecompound model specification does include scenario data including theexternally simulated counts, assigning a portion of the externallysimulated counts to each of the worker nodes to simulate samples.
 21. Asystem, comprising: a master node and worker nodes of a distributedsystem, the master node to: receive a compound model specificationcomprising frequency models, severity models, and one or more adjustmentfunctions, wherein at least one model of the frequency models and theseverity models depend on one or more regressors; distribute thecompound model specification to worker nodes of the distributed system,each of the worker nodes to at least generate a portion of samples foruse in predicting compound distribution model estimates; receivescenario data comprising values of the one or more regressors; determinewhether the scenario data includes externally simulated counts or doesnot include externally simulated counts; distribute the scenario data tothe worker nodes if the scenario data does not include externallysimulated counts, or distribute the scenario data equitably among theworker nodes if the scenario data includes externally simulated counts,each of the worker nodes to: generate one or more computer simulatedevents for a plurality of units using a frequency model of the frequencymodels, the computer simulated events generated based on the values ofthe one or more regressors, generate a ground-up severity value for anevent for a unit of the plurality of units using a severity model of theseverity models, the ground-up severity value generated based on thevalues of the one or more regressors, the unit selected at random fromthe plurality of units, determine an adjusted severity value based onapplying at least one of the one or more adjustment functions to theground-up severity value generated from the severity model of theseverity models, generate an aggregate value based on the ground-upseverity value and an adjusted aggregate value based on the adjustedseverity value for the one or more computer simulated events; andreceive sample portions of aggregate values and adjusted aggregatevalues from each of the worker nodes; and predict the compounddistribution model estimates based on the sample portions of theaggregate values and the adjusted aggregate values.
 22. The system ofclaim 21, the master node to assemble all of the sample portions to forma full sample of the aggregate values and the adjusted aggregate values,the full sample of the aggregates values and the adjusted aggregatevalues used to predict the compound distribution model estimates. 23.The system of claim 21, wherein one of the frequency models having asubset of the one or more regressors, and one of the severity modelshaving another subset of the one or more regressors, and wherein thesubset of the one or more regressors and the another subset of the oneor more regressors have overlapping regressors, or wherein the subset ofthe one or more regressors and the another subset of the one or moreregressors have no overlapping regressors.
 24. The system of claim 21,the scenario data comprising observations for the plurality of units, anobservation comprising at least one of the values of the regressors usedin the frequency model to generate the one or more computer simulatedevents or in the severity model to generate the ground-up severityvalue.
 25. The system of claim 21, each of the worker nodes to:receiving the values of the one or more regressors wherein each of theone or more regressors is a random variable; receiving regressoruncertainties for the values of the one or more regressors, wherein eachof the regressor uncertainties is defined by a probability distributionof a regressor; and performing a perturbation analysis to account for aneffect of the regressor uncertainties and uncertainties in modelparameters of the frequency model and the severity model on the compounddistribution model estimates.
 26. The system of claim 21, the masternode to: set the aggregate value as a point in an unadjusted sample ofthe samples; set the adjusted aggregate value as a point in an adjustedsample of the samples; determine the compound distribution modelestimates from the unadjusted sample and the adjusted sample; and sendthe compound distribution model estimates as results to a clientcomputer for presentation.
 27. The system of claim 21, the master nodeto generate the aggregate value based on summing the ground-up severityvalue and one or more other ground-up severity values, and the adjustedaggregate value based on summing the adjusted severity value and one ormore other adjusted severity values.
 28. The system of claim 21, themaster node to: determine a total number of events to computer simulatefor a plurality of units based on summing a number of events for each ofa plurality of units; determine whether the total number of events havebeen simulated; and in response to determining the total number ofevents have been simulated, add the aggregate value and the adjustedaggregate value as next points in an unadjusted sample and an adjustedsample, respectively.
 29. The system of claim 28, the master node to: inresponse to determining the total number of events have not beensimulated, select a unit from the plurality of units at random; generatea ground-up severity value for another event of the selected unit usingthe severity model of the selected unit; determine an adjusted severityvalue for the selected unit based on applying at least one of the one ormore adjustment functions to the ground-up severity value; and updatethe aggregate value based on the ground-up severity value and theadjusted aggregate value based on the adjusted value.
 30. The system ofclaim 21, the master node to: determine whether the compound modelspecification includes the scenario data with externally simulatedcounts; in response to determining the compound model specification doesnot include the scenario data with the externally simulated counts,divide a total sample size equally among the worker nodes to simulatesamples; and in response to determining the compound model specificationdoes include scenario data including the externally simulated counts,assign a portion of the externally simulated counts to each of theworker nodes to simulate samples.